What is the skin that forms on the surface of milk when it is heated?

The skin that forms on the surface of milk when it is heated is a complex of casein, or milk protein, and calcium, and results from evaporation of water at the surface of the heated liquid and the concentration and coagulation of protein there.

Skimming the skin off removes significant amounts of nutrients.

Skin formation can be minimized by covering the pan or whipping up a little foam; either slows down evaporation.