Frothing

Proper frothed of milk is essential for a great cappuccino or latte. The technique requires a bit of practice to create the thick foam to add to your espresso.

James Hoffman explains his technique in this video.

You will need a small metal pitcher for frothing. These are called milk-frothing pitchers. They are the perfect depth for the steam wand and the large handle is easy to hold and control.

As others have noted and I've discovered do not use high fat milk. I find 2% works okay but 3.25% whole milk does not work at all. It barely froths and smells and tastes of cream rather than milk even when below the optimum temperature of 60 degrees. 

Your milk needs to be really cold for the best results. Put a half a cup of cold milk in the frothing pitcher.

Insert the steam wand into the milk, just below the surface. Open the steam valve enough to get a steady substantial stream of steam. Keep the tip of the wand near the side of the pitcher to create a vortex in the milk.

Move the pitcher up, down and around the wand in order to incorporate air into the milk and break up larger bubbles. The bubbles should get progressively smaller.

Once the mixture has increased in size substantially—about double the volume for a cappuccino or 1 1/2 times the volume for a latte—close the valve and remove the wand from the pitcher. The texture of the milk should be smooth and similar in appearance to melted ice cream.

Quickly clean the wand with a paper towel or clean kitchen towel so there are no milk drippings on your machine or counter. Immediately pour the foamed milk into your coffee beverage, leaving some in the pitcher to create latte art if desired.

Which Milks Gives the Best Froth?
Contrary to common belief, full-fat milk doesn't yield the best foam. Although smooth and creamy, the fat weighs down the bubbles of air, and what you get isn't as tight and packed as what you'd get if using the best milk for espresso beverages: non-fat or skim milk.

Other kinds of milk, like 2 percent, also give good froth, but stay away from lactose-free milks because they lack the sugar and proteins that hold the air bubbles together. Other non-dairy beverages, such as soy, almond, coconut, or rice milk, can also be frothed, but it's up to personal taste and experimentation.

Barista Tricks:

• If there are a few large bubbles remaining on the surface of the frothed milk, tap the pitcher firmly against a countertop, then swirl the milk around the pitcher. This usually removes larger bubbles. 
• Don't wait too long to pour frothed milk. The longer you wait, the more the texture of the milk begins to break down. 
• Leaving some milk in the pitcher ensures that you are pouring only foam and no un-texturized milk. 
• Cleaning the steam wand after every use is a must, as the milk will cake to the outside of the steam wand, and it is a convenient place for bacteria to grow. To do so, fill the frothing pitcher with water and run the steam wand as if you were frothing milk. Discard the water and do the process one more time to ensure you get it nice and clean. Wipe the wand with a damp cloth and then a dry cloth.
  

Can I Froth Milk Without a Steam Wand?
If you do not have an espresso machine or yours does not have a steam wand, you can foam milk in a few different ways, but expect that the bubbles won't be as fine and tight as with a steam wand:

• Stovetop: Pour your milk into a small saucepan, gently add heat, and using a whisk, mix hard, fast, and constantly until the milk foams. Be careful not to scorch or scald the milk. Using an electric mixer or an immersion blender for this method also yields good foam. 
• Mason jar: Place hot milk in a Mason jar and check that the lid is tightly sealed. The best measure is to add 1/3 of the jar's capacity in milk. Shake it vigorously for 45 to 60 seconds. Carefully open the jar. 
• Pump frother or French press: For this approach, you need to warm up your milk in the microwave or on the stovetop before pouring it in the pump or French press, then rapidly press the plunge and bring it back up. Do this movement vigorously for 15 to 20 seconds. Scoop up the frothy milk into your drink.

Source: TheSpruceEats.com