A good many folks I respect argue that goats create finer milk than cows. Be that as it may, they may simply also be the more pragmatic choice in a highly variable climate.
Goat milk is not only tasty, and can make for great cheese, but is fundamentally a source of fat. Fat is needed both to be comfortable in the cold, and to actually ingest fat-soluble vitamins.
These breeds were mentioned by Cheryl in IAF Podcast Episode 5:
A 50-80 lb full animal grown who, with good breeding, can produce a 7-8% fat naturally homogenized milk. Very easy on the ground due to their small size.
A fiber goat, producing a cashmere/mohair blend that is fantastic for socks and other garments. To add icing to the cake, they can also give good milk. Pygoras are pretty easy on the ground, they run ~100 lbs.
Highest fat of full-sized breeds, though still only 4% (compared to 7-8% of littler breeds above). What they DO offer is the ability to pull/pack if properly trained. They do churn the ground a bit, and while not as good as the two smaller breeds, their milk is good.