These innocent serpents are famous for their biomimicry; they closely resemble the highly venomous coral snake. The costume is all an act to scare away potential predators.
In reality, milk snakes are completely harmless and can often tolerate being handled without showing much aggression. (Just make sure the snake you're handling is, in fact, a milk snake and not a coral snake!) It's best to remember this handy mnemonic, which clarifies the subtle differences in color patterns between the two species: "Red next to black is a friend of Jack; red next to yellow will kill a fellow."