I'd echo Psycho....it seems tough to start with, but actually it's pretty easy.
Milk - I use Alpro soya - the tesco own's is cheaper, but only lasts 3 days open, whilst Alpro is 5 days - works out cheaper IMO.
If you don't know any better, it doesn't taste bad at all. Am now so used to it, am happy to have cold on cornflakes but started with it warm in things like stodgy porridge where it is disguised. The best persuader was that it didn't make me feel rough like real milk. Now dairy milk smells so sweet and sickly to me! I get the long life one btw as the 'fresh' one in the fridge is the same IMO but costs more as is already cold - doesn't matter if making porridge or hot chocs.
All the coffee shops sell soya milk, which makes it easy to live a 'normal' life as I love hot chocolates. Starbucks does a brill Belgian Choc Cake bar which is wheat and dairy free - yummy and no bad stuff for me.
Yoghurt - if you don't go for low fat or 'creamy' versions then should be naturally lactose free - or near as damn it - as is removed as part of the process.
Cheese - same as yoghurt, you can eat a lot of normal cheese. Just need to make sure it is a hard cheese. I eat parmesan all the time and have no ill effects at all. Basically, I stick to the rule that if you bash it on the work surface and it doesn't dent, then you'll be fine
Ice cream - would second Swedish Glace, however, you may refer sorbet or just try out ice creams. H-Daz Belgian Choc on a full stomach barely affects me, but other ones I get symptoms after a mouthful.
Chocolate - I love dark chocolate, always have and am a chocoholic. Just check the back of the packet, but most are naturally dairy free. It's a trial and error situation. I like the Divine dark or Lindt 70%.
Margerine - Yup, just get a sunflower or olive oil one. They also have soya ones in the supermarket.
Cream - I use the Alpro soya cream for creamy pasta. It's no great substitute tbh, but my husband happily eats it with no complaints.
Other stuff - it's a pain checking packets, but sometimes you'll be surprised what's in stuff. You'll soon get the hang of it though. Best advice I can give is to avoid 'fake' stuff from health shops. Try to eat different things instead, rather than replace the dairy ones and occasionally have the real thing. Also, the longer you go without dairy, the less you'll miss it and less you'll notice the difference in any substitutes, e.g. milk.
It's not as bad as you think. Good luck and if you need to have something 'normal' every now and again, just have it after a big bowl of pasta or something and your body shouldn't notice it so much.