The three most popular types of milk for making cheese are cows, goats, and sheeps milk. In the US cows milk is the most popular while sheeps and goats milk is used more predmoinantly in the rest of the world. When making cheese with any animals milk you should always make sure its the freshest and highest quality milk you can get. There are enough nuances to sucessful cheesemaking than to fail because of questionable milk.

Store bought milk goes through quite a lot before it reaches the shelves. Pastuerization and homogenization are the two biggest and well known processes. Pastuerization is the process of heating the raw milk to 145F and holding it there for a short amount of time. Pastuerization has a positive effect for us because it kills the pathogens that can make us ill. It has the negative effect of also killing the good bacteria we need to turn the milk to cheese. This negative effect is why we need to use starter cultures when making cheese at home. Homogenization has no positive effects for the home cheesemaker. The process involves breaking up the milks butterfat content into such small particles that they stay suspended in the milk rather than floating to the top. This makes the milk look better and drink better but creates difficulties for getting a firm curd. Adding calcium chloride to the milk can help rectify the curd issues when using homogenized milk.

Ultra Pastuerized
Somewhere along the line it was discovered that exposing milk to very high temperatures allowed the milk to keep longer in its unopened container. This meant milk companies could transport the milk further and have it stay fresher longer. The problem with this process is it denatures the important proteins in the milk needed for a proper curd set. Most dairys label thier milks as such but some do not. If you're having problems getting a good curd your first step should be to try a different brand of milk because the brand you're using could be ultra pastuerized

Ultra Heat Treated
The milk you see in those boxes with the foil lining is ultra heat treated milk. It is flash heated at temperatures up to 300F giving it quite a long shelf life. This milk really does not do much good for the home cheese maker. You may have success making some types of soft cheese, but nothing more.

Whole Milk
Unprocessed milk that has not been heat treated is considered whole milk. Whole milk has a fat content of 3.5% to 4% and contains cream. This type of milk is used for almost all cheese that the home cheesemaker would make. Store bought versions of whole milk will also be homogenized and may need calcium chloride to help get a proper curd set.

Skim Milk
Skim milk will typically have a fat content of 1-2%. The same that applies to whole milk also applies to using skim milk. Problematic whole milk can sometimes be substituted with nonfat milk adding a pint of heavy cream to replace the fat. Be careful adding cream as too much fat can have an adverse affect on the cheesemaking process. Skim milk in its lowfat state is used for making hard grating cheeses like romano and parmesean.

Dry Milk Powder
Dry milk powder is whole or skim milk solids that have been dehydrated. Reconstituted dry milk can be used to make cheese if you cannot find suitable liquid milk. However it may require lots of experimentation to find a dry milk and cream forumla that produces a good cheese.