My DD was allergic to cow's milk when she was a baby, so I was dairy-free to clear up her eczema.
Earth's Balance margarine (actually "Earth Balance® Margarine Natural Buttery Spread") is an amazing butter substitute, if you like butter. Good enough to eat on "buttered" noodles, and I'm a total butter snob.
I never did find any decent cheese substitute. Or milk. Or ice cream. (Soy products taste nasty to me. Some people like them; I didn't.)
For some stuff, coconut milk is a great substitute, but it's very high-fat, calorie-dense and diet-unfriendly. If you need a treat, though, you can make instant pudding mix with coconut milk (it won't set with rice milk or soy milk, but will with coconut). Good flavor combinations are chocolate, banana, vanilla. Banana or vanilla made with coconut milk, with a can of drained crushed pineapple, a can of drained mandarin oranges, and a sliced banana or two is really, really, reallly good.
If you like pina colada flavor, a can of crushed pineapple, a can of coconut milk, some optional fresh lime juice, a little brown sugar and a generous helping of rum put through the ice cream machine (or frozen and stirred, frozen and stirred) is better than ice cream.
Baked goods tend to have a lot of hidden dairy. At one point, I was dairy-free and wheat-free, and honestly didn't find that any harder than doing either separately.