With so many good responses already, I'll limit mine to a few extra notes
...

Earth Balance vegan margarine is the best butter substitute for baking I've
found. I use cheaper margarines for, say, putting on corn, but Earth Balance
has a low enough water content to hold up to baking. Butter flavor Crisco
works in theory, but the taste isn't as good. The Crisco will work well for
pie crusts, though, if you'd rather not use lard.

There are several easy ways to make soy-based heavy cream. The two I use
most often are either to use a powdered soy milk mix and reduce the
water-to-mix ratio to make it thicker, or to boil down regular soy milk. You
can also blend it with silken tofu, etc., but I don't usually do that.

Chocolate ... most dairy-free bars/chips are either very very cheap (think
Sam's Choice from Wal-Mart) or expensive. Be careful about brands where most
varieties of chips use milk, and the equipment's shared, and steer clear of
those if contamination is an issue. (It is for me, with an allergy, but if
you're "just" lactose intolerant it might be OK.) Often you can go to the
Whole Foods section and pay more for something in a pretty environmental
wrapper that makes a big deal about being vegan ... or go to the ordinary
grocery aisle and find vegan bars/chips of comparable quality for much lower
cost. Hershey's, Nestle, etc., are not safe, though.

Soy Dream makes a good soy ice cream in a completely dairy-free facility. My
favorite flavor is "Turtle Tracks" or something like that. But, it's also
very easy--and cheaper--to throw ingredients into a home ice cream machine,
using soy milk instead of cow milk. (Note: I think I love the Turtle Tracks
because they succeed in making real caramel without milk. That's not a trick
I've been able to duplicate at home.)

If you're at a nice restaurant, talk to the chef early in your visit and
challenge him/her to make you a "real" dessert without dairy. Often, they
have fun with the challenge, and produce amazing treats! (Under NO
circumstances should you get the dairy-free, soy-free, gluten-free,
egg-free, all-allergy option some restaurants keep on hand, unless you're
actually allergic to all those things. In my experience they're universally
nasty.) Btw, the chefs at Disney World are amazing at handling food
allergies, and at bringing fantastic food out to you safely.

If you're at a restaurant where you don't feel safe with the desserts,
consider asking about some fresh fruit instead. Sometimes a simple bowl of
strawberries will do just fine. :)

Subscribe to FAAN's food-recall e-mail alerts, so you'll know if you've
already bought something that's not safe to eat, despite a dairy-free label.

Hope this helps,
Weavre Cooper