Upon discovering my allergy to casein, I thought I would have to completely shy away from some of my favorite foods. Luckily, after a couple years (and some trial and error), I've found that it's not really limiting and has, in fact, prompted me to be even more adventurous in the kitchen. Here are some of my favorite substitutes*.
Cheese - Sheep and goat's milk cheeses are great substitutes for cow's milk cheese. Aside from being expensive (their only downside), they are delicious and there are several varieties to choose from in specialty markets and even larger chains (such as Whole Foods).
Sour Cream - Tofutti makes a soy-based sour cream substitute that is absolutely the best. It can be substituted in most recipes in place of regular sour cream with no modifications to the recipe. Because it is a soy based product, and not actual dairy, the texture changes if it freezes (or even near freezes), so be careful when storing. However, I have been trying to limit the amount of soy I consume lately. In many recipes, I have found that sheep or goat's milk yogurt (strained to remove excess water) can be used in place of sour cream. Just remember to strain a bit more than needed so you'll end up with the right amount.
Cream Cheese - I'm going with Tofutti again here. Their soy-based cream cheese, while lacking that distinct dairy flavor (says Nick) is a great substitute in recipes containing cream cheese (even cheese cake!) Again, this product does not freeze well, but it does work well if baked in a recipe.
Cream - While I've only tried this in baked goods - scones in particular - a mixture of goat's milk and goat yogurt (half and half roughly) worked well. I'm not sure how this would work in something like a cream sauce, but when baking, the substitute seems fine.
Milk - I use Almond milk if the recipe that I'm working with could handle sweeter milk (baking). Plain versions of soy milk work well in most recipes (savory cooking). Coconut milk is a great substitute in both sweet and savory recipes if a hint of coconut wouldn't be offensive. I also use goat's milk in a variety of milk applications where the fat content of milk is needed.
Butter (baking) - Crisco works well in a lot of recipes. I use the plain variety (not the butter flavor).
Butter (cooking) - I find Olive Oil covers most of my needs when it comes to cooking with butter. The only place that I absolutely use regular butter* would be in a rue.
*If you have severe allergies, avoid all milk products. These substitutes work well for me with my particular allergy.