Milk has been heated or pasteurized to kill bacteria since the process was developed by Louis Pasteur in 1864. Milk fresh from the cow (or sheep or goat) can contain E coli, Listeria or Salmonella which can cause diarrhea, abdominal pains, vomiting or worse. The Food and Drug Administration (FDA) cautions against drinking raw milk.
On the other side of the argument are people who believe raw milk contains immune enhancers that are otherwise destroyed by pasteurization. But even then they encourage buying full fat milk only from pasture fed cows.