Milk instead of water in bread
Milk in bread dough is an enriching agent.  Other typical enriching agents for bread include things like eggs, fats (butter, oil, etc.), and different types of sugar/sweetener.  They are used to add either fat or sugar or both.

Bread made without enriching agents is known as a lean dough, typically containing only flour, water, salt, and yeast.  Lean doughs are used to produce a lot of traditional European and American crusty breads, including everything from baguettes and crusty French bread to ciabatta.  Typically, they have a firm crust, along with an elastic, springy interior that often (though not always) can have large and irregular holes.

Substituting milk for water in bread will usually add both fat (from milkfat) and sugar (lactose).  Several changes can happen, including:


The crust will typically be softer
The crust will brown more quickly (due to sugar) and can darken more evenly before burning
The interior will be softer and usually less springy/elastic 
The flavor will be richer (due to fat) and somewhat sweeter (due to sugar), though bread with milk but no added sugar will still not be noticeably sweet; nevertheless, the lactose will add a different flavor component
Enriching agents will disrupt larger gluten networks a bit, making it less likely to develop large holes in the interior
The added weight of the sugars and fats will decrease final loaf volume and oven spring a bit
Enriching agents often cause the bread to take longer before it begins to develop a "stale" flavor/texture