Vanilla sugar can be nice, though, as is caramelizing sugar in a pot and then whisking hot milk into it, then mixing that with flavored/spiced black teas (masala chai, etc.).
(I'm not sure if it's true, and I don't add milk to my tea anyway...)
Yes you're blocking the antioxidant benefits of tea because you're consuming a much more potent antioxidant and immuno-booster.
Not to mention milk contains vitamin A B's C (D) K, Biotin, Calcium, Pantothenic Acid, Phosphorus, Magnesium, Iron... http://en.wikipedia.org/wiki/Milk#Cow.27s_milk It's got good things that I haven't even heard of before.
If you regularly drink milk, then you might as well drink tea without it to get an additional source of antioxidants. If you don't drink milk regularly then put it in your goddamn tea because it is frikin godly.