Powdered whey protein is sold in many health foods and GNC-type stores. It has a long shelf-life and can be added to smoothies, baked goods, almost anything. But liquid whey should be used within a day or two (or frozen immediately for later use). It's very thin and watery, very high in protein, and extremely low in fat (and has zero saturated fat).
My favorite thing to do with whey is to make whey curry.
To make whey curry, see what vegetables you have on hand. Almost anything will do, but green beans and carrots are my favorites for whey curry.
Prep the veggies (e.g., wash, trim and diagonally slice green beans and peel, wash, and julienne or diagonally slice carrots). In a soup pot, pop a couple of tablespoons of black mustard seeds in a couple of tablespoons of hot olive oil. Add a few curry leaves and stir-fry until they're soaked through with oil. Add a tablespoon of either sambar powder or rasam powder.* Stir-fry until fragrant. Add the veggies, salt to taste, and, if you like, some julienned fresh ginger. Also optional: add a few tablespoons of either tomato paste or tamarind pulp and stir. When the vegetables are coated with the other ingredients, add the whey and stir. Salt to taste. Allow this soup to come to a boil and then simmer until the vegetables are tender or al dente, as you prefer. Garnish with chopped fresh cilantro and serve over hot rice.
*Sambar powder is a mixture of about 1 cup chana dal, 3/4 cup coriander seeds, 10 large dried red chillies, 1 teaspoon black pepper, 1/4 teaspoon fenugreek, and a pinch of asafoetida, which have been fried together in a teaspoon of oil on low heat and then ground into a fine powder. Rasam powder is a powdered mixture of about 1 cup coriander seeds, 1/2 cup cumin seeds, and 1/2 cup whole black peppercorns. Recipes vary locally. You can buy sambar powder and rasam powder in Indian grocery stores.
You could also make a thin tomato soup with whey: combine 1 1/2 cup strained tomato juice from fresh tomatoes with 2 whole cloves in a soup pot and bring them to a boil, then simmer 5 minutes. The add 1 1/2 cup whey, stir, and strain the mixture. Return the strained mixture to the pot and add a dash of pepper and a 1/4 teaspoon of celery salt. Reheat. Garnish with 1 tablespoon plain yogurt, 1 tablespoon chopped fresh parsley, and sprinkle some paprika over the yogurt garnish.
You can also use whey in baked goods: here's a Devil's Food Cake recipe featuring whey.
2 cups packed brown sugar
1/2 cup butter
1 teaspoon vanilla extract
2 1/2 cups whole wheat pastry flour
1/3 cup baking cocoa
1 teaspoon baking powder
1/2 teaspoon baking soda
1/4 teaspoon salt
1 cup whey
In a large mixing bowl, combine brown sugar, butter and eggs. Add vanilla; beat well. Sift together flour, cocoa, baking powder, soda and salt in a separate bowl. Add alternately with whey to the egg mixture. Pour batter into two greased 9" round cake pans. Bake at 350 degrees for 30 minutes or until cake tests done. Cool 5 minutes before removing to a wire rack. Continue to cool.