In a recent paper in the Scandinavian Journal of Primary Healthcare, "middle-aged men who consumed high-fat milk, butter and cream were significantly less likely to become obese over a period of 12 years compared to men who never or rarely ate high-fat dairy." It seems that the skim-milk-is-better mantra no longer is true, although no one's certain why. Perhaps it's because full-fat milk makes us fuller quicker. Perhaps it's because there are substances in full-fat milk that help our metabolism.
It's rare that a health study gives a result that you actually want to hear. Of course, if you need to cut down on cholesterol, you're not allowed to take advantage of this good news. Barring that, however, it's looking like you can (and should) indulge a little more when it comes to dairy.