Depends on who makes them they can taste different. The "American" variety soy milk (i.e. the ones with only English, like Soy Dream, Vitasoy in Albertsons) are made to taste just like milk. The Chinese variety (also from Vitasoy, but with Chinese instead) taste like a very lite version of Chai tea with sugar, like a latte as a drink.
I made my own soymilk at home with just a blender and a very coast filter cloth, that's how it should taste like (the Chinese style). Just soak it overnight, blend it, squeeze it over the filter, and bring it to a boil.