I love this recipe for Hot Cocoa (from, who else, Alton Brown), but I would recommend putting the powdered milk (and the sugar, if it's not powdered) through a blender first. Do not, under any circumstances, do this to the cocoa, as it just compacts the cocoa and it will form angry, resentful lumps in your otherwise smooth Hot Cocoa.

And don't forget the pinch of cayenne pepper!