We buy organic milk, though we are in the US so a slightly different circumstance as Kara described.
It's one of those things where I feel that I'll probably find out one day that I'm wasting my money on it, but on the chance that I'm not, I'll do it anyway.
Like Nuala said, we prioritize our organic purchases with things higher up on the food chain (the idea being that the pesticides are more concentrated high up, if that) make sense...