Cloudy, milky or foamy looking water is usually caused by the release of dissolved air from water. This is quite common and harmless. When watched closely, the dissolved air slowly travels upward, out of solution. This can also be caused when natural minerals in water come out of solution.
Water pressure can have something to do with it. The water in the pipe is pressurized. Water under pressure holds more air than water that is not pressurized. Once the water comes out of your tap, the water is no longer under pressure and the air comes out of solution as bubbles (similar to a carbonated soft drink).