Whey is a cheese industry by-product; it’s the liquid left over after straining curdled milk. It contains lactose, protein, vitamins, minerals and fat.
Whey is a common ingredient in crackers, bread, and other baked goods. Because it’s cheap and plentiful, it is a common ingredient in processed foods. Many protein powders and instant breakfasts are based on milk proteins extracted from whey. These proteins are beta-lactoglobulin (not otherwise synthesized by humans), alpha lactalbumin, and serum albumin.
Vegans should always be on the lookout for whey, as it has a surprising ability to show up in products that would otherwise be vegan.