Sorry tis long...Coffee and foam are laughably important topics.

I must preface my post by saying that I am a trained barista and managed an 8-12kg coffee per day cafe for a couple of years (7 years ago) and importantly that I am NOT up to speed with any of the home-foaming devices around today. But here are some tips that most people I have come across don't know (including almost EVERYONE who works at Starbucks or any other coffee chain...)

In my experience, many people I have come across around the world (and especially those who really think they know their coffee) generally don't have a clue what they are talking about. Their opinions about why a particular coffee (or foam) is or isn't good is solely a subjective one. Fair enough, but on a site like this where most people know their cookware I hope that some degree of objectivity comes into it.

Foaming milk.
1) Lower fat is easier to foam as pointed out above. Full-cream tastes better, but good technique (oh, there is a technique) should more than make up for this.
2) For the BEST results, cold milk (straight from the fridge) should always be foamed in a COLD steel (metal) jug. This is especially important for full-cream milk as it takes longer to increase its volume compared to low-fat. In the cafe, I'd be making several coffees a minute but every coffee was made from cold milk straight from the fridge in a cold jug also from the fridge. (We had an open fridge in the bench and lots of jugs). Milk was never reheated.
3) The jug should be large enough to make enough for at least one extra glass than you need...see next point. Always use more milk than you need if you want the best foam.
4) The nozzle of wand should NEVER get close enough to bottom of the jug to 'squeal' (or make any noise that isn't the gentle chirping of the milk as it swirls around the jug). This will cause a hot-spot and burn your milk and recondense the steam adding water to milk.
5) Never EVER move the jug up and down while you are foaming (if you are a hack or like particularly light foam that will have no taste and unfulfilling texture and that can be molded, then go ahead BIG MOVEMENTS!). The nozzle should be just below the surface near the spout of the jug. Angle the jug so that the milk swirls around in one direction (not as drastically, but similar to when you whisk an egg). You will need to make adjustments to the position as the volume of the foam increases. As a general rule the nozzle should just be submerged. You want to listen for chirping as the tip of the nozzle becomes quickly exposed whilst the milk is swirling. These 'chirps' should be about 1/4 of a second and you'll get a handful every couple of seconds if you are doing it correctly (it takes PRACTICE). 
6) Temperature. Ideally, should be hot, but not so hot that you can't drink it right away. This is not tea and should not be approaching boiling. We generally used thermometers at the cafe. About 63.5-65 degrees celcius. You should be able to serve your coffee in a glass and hold the glass in the palm of your hand reasonably comfortably. (It will feel hot though).
7) If you did all this, you should have foam that looks like silk. You should not be able to see ANY bubbles, and the foam should not look like bubble bath. A silky foam will retain all of its taste. When you are good at this, you shouldn't need to bash the jug on the bench to get rid of any bubbles.

...and this is before you even consider how select a coffee bean, appropriate roast (for the bean), appropriate grind size (a good barista will adjust the grind several times throughout the day depending on the humidity, how old the ground coffee is, temperature, how well the machine is working), and how to 'pour' a shot (see post-script)

So to the original post...
For foaming milk, even with the best technique, you are only as good as your equipment here (but good equipment doesn't make up for bad technique!). When I last looked and tested, I was unable to find a wand that did a good enough job (that wasn't on a coffee machine that I would buy. I have a professional commercial coffee machine at home...tossed the microwave to make room).

The problem is (and keep in mind that not every cafe will have a coffee machine capable of this)
- Your boiler needs to be HIGH pressure. The higher the better (this is where a majority of the weight in a coffee machine lies). This will ensure that when the steam comes out of the nozzle it is 'superheated' (not as in volcanic) but so that you don't get any liquid water (this will kill your milk) and that more importantly it doesn't cool enough as it travels in the nozzle-arm or leaves the nozzle to form enough liquid water to kill your milk.

I haven't found a home machine that meets the criteria food good foaming; however if one is emerging and you think you are about to buy it, make sure it can sustain heat and pressure. Always run the wand until it is ONLY producing steam before you steam your (COLD) milk.

Try and find a machine that has a long enough arm so you can use a bigger jug. This is a very important consideration. If you are limited to a short-arm on a lower-end machine, you will get bubbles, water, and reasonably tasteless milk without that LOVELY texture!

Very quickly:
North America as a general rule has over-roasted (ie burnt) coffee, to mitigate the obscenely large, weak, scorchingly hot coffees sold.
- A shot of coffee should pour for an optimal amount of time (depends on the coffee). We had a 25-35 second pour depending on (humidity, temp, machine use etc). This was based on taste. I'd have a tiny-sip of coffee every 15 minutes and would time every shot of coffee poured.
- Most importantly, coffee beans oxidise. Once they have been ground they oxidise and lose flavour almost immediately. We were extremely busy at the cafe (and didn't keep people waiting) but would only grind coffee as we used it. This meant from grinder to drinking a coffee was about 60-90 seconds. Cafes with huge coffee grinders on auto grind (you can see the excess in the grinder as a customer) generally serve bad coffee.
- Coffee must be tamped correctly. Cafes that use the tamp attached to the grinder, use a flimsy tamp, or don't get a perfectly flat surface, generally serve bad coffee.

Hope this is useful. Any questions (or disagreements), especially about technique), please post and I'll see if I can help.