We have different options.
Either sugar, that can be white or brown, or milk. There isn’t much of a difference in taste between white and brown sugar, so it’s up to you to decide. Most coffee shops (in Italy we call them “bar”) have both. Also, if you are on a diet you can pick a light sweetener bag on the table.
Just remember, no matter the type of sugar you choose, always put one tablespoon max. If you put more than one, you’ll end up spoiling the taste of coffee.
Some Italians don’t like the idea of sweetening coffee with sugar, so they go for milk instead. In this case we’re talking about “caffé macchiato” (pron “kaf’fé mak.’kia.to”) which is an Espresso with just a bit of milk foam in it.
You don’t have to ask for milk since macchiato always comes with it. You might be asked if you prefer to have it “macchiato caldo o freddo?”, meaning “would you like your milk hot or cold?”. In fact, in case you want it hot, milk will be already poured in the coffee (with a little foam), otherwise, in case you prefer cold milk, it will come in a really cute and tiny milk jar.