It's worth noting that water dissolves whey protein much, much easier than milk. I drink strawberry and have never had a complaint about the taste (I had vanilla a while back and it was only tolerable with milk.)

You end up shaking the hell out of milk trying to get it dissolved and then i almost always ended up spooning some (which is just gross.) With water, I'll get a 16oz Dasani, have a big gulp, and pour in the protein. Shake it while I post-workout stretch and it's homogeneous and good to go. I also have a couple reusable bottles that I'll fill with protein at home and then fill with water at the gym (I work out in the evenings.)