Milo left Gilmore Girls because his character involvement was gone. Jess was no longer living in Stars Hollow and did not interact much with the main characters after he moved away. Of course there was some final episode that rapped up and concluded his character and storyline. But basically Milo left because Jess did.
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Jess is played by Milo Ventimiglia.
His real name is Milo Ventimiglia.
No Jake Gyllenhaal was Never In Gilmore Girls but Jared Padalecki was In the Show He Played Dean from Season 1-5 and now can be seen Playing Sam in Super Natural and Milo Ventimglia was also In Gilmore Girls Playing Jess and Is Now Better know Now as Peter In the TV series Heroes.
Heroes
He came in season 2 in the episode Nick and Nora Sid and Nancy. He got on Lorelai's bad side but Rory liked him already.