If you're going to drink cow's milk (if you're not lactose intolerant) the best option is organic, unhomogenised full cream milk. By the time any milk reaches the supermarket where you purchase it, it has already gone through numerous processes which strips it of it's natural goodness. Any food is best consumed as close to it's natural state as possible.
And contrary to popular belief skim milk will not help you lose weight and is of no benefit to your health whatsoever; it generally contains antibiotics and powdered milk solids, has had the healthy fats removed, and is of very little nutritional value.
Organic, unsweetened almond milk is a good option for those who can't tolerate dairy milk.
It depends on a number of factors - such as allergies, dietary requirements, how it is intended to be used, and just personal taste.
Full fat is good for babies or those being weened, because it provides the extra calories and nutrients to build up their immune system.
Skimmed is a good choice if you are on a diet, but a lot of people can't stand the taste, so use semi-skimmed instead. Semi-skimmed works well for creamy puddings without being overly indulgent.
If you are lactose intolerant, there are plenty of non dairy options such as almond or hazelnut milk. Despite coming from nuts, they are very low in fat and quite low calorie depending on which brand you get. I use Alpro almond milk. If you have a nut allergy, soya or rice milk are equally good alternatives.
My family usually gets Skim Milk. Everyone likes it and it can be used in drinks, cooking and everything else, unlike almond milk, which I would buy if it had more uses (I don't like it plain, so only ever use it in things like porridge and doesn't get used up before going bad). Skim Milk is also pretty cheap too.