I do that for chocolate milk. I use undutched cocoa powder. Dutching (a way the chocolate is processed) takes out a lot of the good stuff in cocoa, like greatly reduces its anti-oxidants. The undutched versions are also much more flavorful so you need less for your hot chocolate.
Personally, I use Scharffenberger cocoa. I heat up a little milk, mix in the cocoa and splenda, and after that's dissolved, add additional milk and microwave. If I try to mix the cocoa into all the milk, it has a much harder time breaking down and you have those little irritating lumps in your hot chocolate. The cocoa powder is only like 30 calories or so per tablespoon and I only use 1 tablespoon---with the high quality cocoa powder, I find that 1 tablespoon cocoa powder per 1 cup of milk is a good ratio.
I've heard that Hershey's has a non-dutched version -- it's call natural cocoa powder, so that may be more common in your mainstream grocery stores. Otherwise, you may have to go a more specialty or high-end natural food store like Whole Foods to find undutched cocoa powder.