Whey is the yellowish liquid left after milk has been curdled, usually with some sort of coagulant to help form the curds, and strained in the process of making cheese.
The whey tastes just like milk and is highly nutritious. Many body builders use whey protein powder to bulk up.
If at all possible the whey is reused on the farm, and can be fed to pigs. Parma hams, for example, are made from pigs fed on the whey from Parmigiano Reggiano.
Whey can also be made into other cheese products such as ricotta and cottage cheese, using up the final milk solids in the whey.