I've heard that milk absorbs a large amount of THC from the smoke, as well as drinking milk killing peoples' highs. I haven't actually drank milk while I'm high, so I wouldn't know personally, or at least I haven't in the sense that I don't remember.
I've found that adding a couple of drops of peppermint oil (other oils work too, I just really like mint) adds a great flavour to it. Works even better with warm or hot water, so you can get some steam, smoke, and delicious peppermint - and the heat helps the peppermint oil evaporate, making it feel even better.
We've used cola before. Can't say it was any different to water, maybe left a slightly sweet aftertaste.