Whey is the liquid by-product from the production of cream cheese or any other fermented dairy produce. Authentic, traditional Italian ricotta is made not from milk and lemon as many recipes now suggest – but from gently heating whey together with an acid such as lemon or vinegar and stirring until the whey coagulates into ricotta. Most modern, industrialised manufacturers of cultured diary products consider whey an unfortunate waste product and have problems getting rid of all the whey produced. One modern application of whey is to dry it and sell it, powdered, as a fitness product for sport fanatics. Other than in Germany I have never seen a shop sell fresh, liquid whey.
If you have any left-over whey from making your own cream cheese it can be used as an inoculant for fermented fruit chutneys. It also tastes very refreshing chilled and combined with some freshly squeezed lime juice and a tsp. of honey. It is a great health tonic, packed as it is, with wild microorganisms that are great for feeding our micro flora.
To make your own whey see this recipe on how to make cream cheese.