I agree with Nigel!
Plus from Milan, the closest and most logical choice is Switzerland. You can reach the Berner Oberland (main villages Grindelwald, Lauterbrunnen, Wengen, Mürren) in about 4 hours by train from Milan, and it is arguably the most scenic corner of the entire Alps.
Chamonix is great too, but more limited: the views are great, but there are very few easy hikes.
As for the Dolomites, they are really beautiful too but they do not look like the rest of the Alps. It is an altogether different experience to me.