Recently I purchased fat-free milk for the very first time, in my quest to reduce my intake of saturated fat for the sake of my heart.
I was skeptical, but lo and behold, it froths wonderfully well for the morning cappuccino. I should have known. When I had switched to 1% from 2% a while ago the 1% had frothed just fine. Obviously the reduced fat content had not been a factor.
This woman explains it well: "One of the many amazing things about milk is that it can be transformed into silky foam. This happens because of its protein content, without which milk would be like water, i.e., with zero chance of frothing up. ... Skim milk ... tends to produce more foam than fattier milk does."
Read it all at this link.