Combine yeast and water in a large mixing bowl. Add milk, salt, and sugar. Stir in flour to make a stiff dough. (Unlike most bread recipes, you want plenty of flour. That makes the pretzels chewier.) Knead on floured counter a few times. Let dough sit for about 5 minutes.
Roll into ropes and form into pretzels. Place on lightly greased or silpat lined baking sheets. Brush with milk and sprinkle with salt if desired.
Bake at 400° for about 15-18 minutes or until lightly browned.
Notes
We have tried sprinkling the tops with poppy seeds, sesame seeds, garlic salt and Parmesan, and cinnamon/sugar. Most of the time I just leave them plain-and they are still heavenly!
Sometimes I replace some of the white flour with freshly ground whole wheat flour and it works wonderfully and is more healthy.