There are a lot of different options for this problem. Keep in mind that, given the method, anything you use will change a little as you perform the trick.
Oil of Milk is the classic substitute.
Soy milk and Rice milk are popular substitutes because they don't need to be refrigerated and are safe to drink.
Probably the thickest stuff that I've seen used is white floor wax for tile. It's easy to clean and doesn't need to be refrigerated.
Lastly, there are some guys who will use grape or cherry soda rather than milk. The color change issue can be remedied by adding drops of food coloring in the bottom of the glasses.