That's why in Paris I buy a thing called a Cafe Noisette (
http://en.wiktionary.org/wiki/caf%C3%A9_noisette) which is basically a large espresso with some warmed (not frothy, though) milk on the side.
Never seen it on sale outside of France, though, but any cafe there will know what you mean if you ask for one. It's one of my favourite coffees, and I now ask for a large espresso with milk on the side in cafes in the UK and elsewhere, to replicate the experience.