One bonus is that soy milk has fiber and no cholesterol! Can't say that of cow or goat milk!
If you are new to soy milk, I suggest Silk brands. They are wonderful. Silk light (for having less fat and calories) and Silk Plus Omega 3's (because it is delicious and nutritious) are my favorites (and the chocolate is an occasional treat, as I mentioned).
I LOVE chocolate soy milk, it's a nice occasional treat and so I say go for it!