Just know there are two types of "milk" oolong. The common ones found most places are from Guangzhou or Taiwan, and they have been actually steamed and flavored with dairy products. These come out tasting as you'd expect- like oolong with a bit of cream and sugar added. There is also a milk oolong which has not been artificially flavored. It's high mountain oolong from Taiwan which is harvested and processed directly after a cold snap in the weather. It doesn't taste like cream, but rather has a creamy and sweet texture and mouthfeel.
If you open the bag of tea, and it smells like sweetened condensed milk, then you know you have the first kind. Nothing wrong with that, but you shouldn't be paying high prices for it. By a strange twist of events, I ended up getting a sample of this kind from David's Tea recently. It's a pleasant enough tea, but can't be put on the same level as good unflavored oolongs. [And for the love of God, don't brew it in a Yixing pot!]