Whats the difference and how can it help me?

Skim milk has had most of it's fat removed. Whole milk retains it's fat (roughly 4% of it's weight after pasteurization). There's also semi-skim varieties such as 1%, 2%, etc. where the percentage again indicates the amount of the milk's weight coming from fat.
Due to it's higher fat content, whole milk has more calories in it than skim or any of the semi-skimmed varieties.

Milk is a nutrient-dense food (http://www.nationaldairycouncil.org/nationaldairycouncil/nutrition/products/product_milk.pdf). This means that it provides a high level of essential nutrients compared to its calories. In fact, each serving of milk provides 10% or more of the recommended daily intake for calcium, vitamin D (if fortified), protein, potassium, vitamin A, vitamin B12, riboflavin and phosphorus. Milk is an excellent source of calcium. Regardless of its fat content, milk provides about 300 milligrams (mg) of calcium per serving (8 fluid oz). Milk is a good source of high quality protein, which means it contains all essential amino acids, the building blocks of protein.

Here's what milk is made up of (http://www.foodsci.uoguelph.ca/dairyedu/chem.html):
87.3% water (range of 85.5% - 88.7%)
3.9 % milkfat (range of 2.4% - 5.5%)
8.8% solids-not-fat (range of 7.9 - 10.0%):
protein 3.25% (3/4 casein)
lactose 4.6%
minerals 0.65% - Ca, P, citrate, Mg, K, Na, Zn, Cl, Fe, Cu, sulfate, bicarbonate, many others
acids 0.18% - citrate, formate, acetate, lactate, oxalate
enzymes - peroxidase, catalase, phosphatase, lipase
gases - oxygen, nitrogen
vitamins - A, C, D, thiamine, riboflavin, others

Some people feel that milk has too many carbohydrates to fit well into their diet plan. (About 13 g of carbs in one cup of 1% milk) However, I feel that the carbohydrates in milk are definitely the "good" kind, especially when combined with the proteins, minerals, and vitamins that also occur in milk.

Here's a good article by Alissa Carpio that explains the benefits of including dairy products in a bodybuilder's diet:
http://www.bodybuilding.com/fun/alissa34.htm

I'd like to qualify what Guava said to, the carbohydrates are good at certain times.

The insulin index for milk is fairly large. This implies that it would increase the insulin spike following a meal. So it would be good to consume milk immedietly upon waking (like maybe with some oatmeal and blueberries?) or post workout(with a protein powder perhaps?).

I don't agree with people who claim that you can't cut well while drinking milk. I do think that you have to be smart about it though.