I think the coconut milk adds smoothness, and character to a dish --
It also adds a lot of calories, so sometimes I will use the "lite" varieties. I haven't found much difference in brands -- I seem to find thai coconut milk more than any other type.
We used to have to squeeze our own, by grating the coconut meat (or having it grated in the market), steeping it in boiled water, and squeezing the liquid out through layers of cheese cloth. I used to save the bags from Jamestown Hams to do this!
I'm glad not to have to do that anymore. In South Africa we could buy frozen coconut cream. Wonderful!!! (not sweetened)