What's happening when you steam it?
Soy has a place - there are some drinks that turn out better, due to the slightly sweet nuttiness it adds (unsweetened soy, that is). I've been playing with a drink with wasabi and ginger, and nori flakes, which really won't work in anything BUT soy. It's also great if you want to fiddle with tea lattes, because the water content in the soy milk allows for a pretty decent tea steep, whereas moo juice just doesn't pick up tea well at all.
It does depend on brand, though. I've noticed the soy we use in my shop doesn't want to mix with the coffee at all when it's cold. I can't remember the brand off the top of my head, but it stays really cloudy and separates out, so customers often think it's gone bad.
Some soy that I've worked with won't produce foam at all, whereas others turn out very milk-like (I once got in an argument with a customer while working at a big chain - she wanted a soy cappuccino, and I suggested a latte because I'd never had decent foam out of soy. She insisted, and lo, for some reason this company's soy actually did produce foam).
I've experimented with rice and almond milk - the rice milk wouldn't produce any foam whatsoever, and turned out really thin and watery. The almond just got incredibly nutty in flavor, in addition to also being pretty watery. Maybe others have had different experiences.
Coconut milk is fun, but it gets INTENSE, and seemed to really just accentuate sourness with the espresso.
Thanks for all the great comments. We've used several brands, but the common problem I have is that it bubbles too much and ends up burnt. My customers haven't complained much because their mostly strays from the starbucks that closed down the street, but I have gotten a few comments on it.
I second Aaron on Pacific Foods "Barista Series" Soy milk. It has a higher fat content so that it textures similarly to whole milk. We actually have soy drinkers that will get whole milk now if we for some reason run out and pick something else up at the store. As far as taste I wouldn't really say there is an alternative.