Does milk really make you sick?

I've had dairy before many band practices. Whole Bowls of cereal, yogurt, cheese, even multiple cups of the stuff. It never really makes me sick. I by no means have a strong stomach either. In the past I have felt nauseous, but not when I drink milk. If anything the cool fatty liquid settles my stomach. Is it true that milk makes you sick in the heat, or is there just a bunch of closeted lactose intolerant people in marching band.

P.S. if you ever got sick please tell the story for giggles.