Tofu, very tasty. Try to get organic. Best when pressed and marinated. You should be able to get it at just about any grocery store.
Seitan, also tasty, if made right. You could make it, or buy it at a health food store.
Tempeh, very nice. Best when steamed or boiled before cooking though, to get rid of the bitter flavor. Find it at health food stores.
Beans, high protein, tasty, and good substitute in a lot of things, especially burritos.
TVP, (textured vegetable protein) I've never had it, but I think you can get it at most grocery stores.
Mushrooms, extremely tasty, with a sort of meaty taste, and a nice texture. Sliced and sauteed are nice with almost everything, and grilled whole portobellos make great burgers.
Store bought, there are tons of pre-made fake meats, including burgers, deli slices, chik'n nuggets, and everything else.
Soymilk, there are tons of brands, and I think just about every grocery store has at least one kind. There are also different flavors, like chocolate, vanilla, and I think I've heard something about chai, but I don't remember what brand that was. Try to get organic, if possible.
Rice milk, a little harder to find, but it's nice.
Coconut milk, I really like coconut milk, but it does have a kind of strong flavor, so if you're using coconut milk, make sure coconut would taste good with whatever you're making. I don't suggest drinking it straight though, because of the strong flavor, and it's more like drinking cream.
Hemp milk, hard to find, but I really like it.
Water, you can only really use water in some baked goods, or just for drinking. If you've noticed that whatever you've made with milk, or a milk substitute tasted at all creamy, or milky, do not use water in place of the milk.
There are a ton of recipes on the internet, just do a search for "Vegan cheese recipes" Or "Dairy free cheese recipes" and you should find a ton. Not all of particularly tasty though. I suggest making a small amount of something first, or you may be wound up with a ton of untasty "cheese"
There's also something called nutritional yeast (Note: regular yeast will definitely not work), nutritional yeast comes in yellowish flakes, and they taste sort of cheesy, sort of yeasty, sort of nutty. I really like it, and it's a nice condiment. I've heard if you mix it up with some ground sesame seeds you get something similar to parmesan. It can usually be found in the bulk foods section. Some regular stores have it, some don't. If you can't find it, either get it at a health food store, or you could use brewers yeast, but nutritional yeast is fortified with nutrients, including B12 (which is very hard to get as a vegan, so it's very nice)
Also, in health food stores you can probably find some vegan cheeses, make sure there isn't any casein in it though. Casein is milk fat. Yet for some strange reason, they like putting it in the veggie cheeses. I have no Idea why. Anyway, my favorite brand is Follow Your Heart, Vegan Gourmet, a lot of people like the cheddar, but I don't really. I really like the mozzarella.
You can probably find a lot of recipes for it with tofu. But this and this, are really great, I don't think I'd be able to tell the difference.
Coconut milk. It will not whip though.
Or there are some containers of vegan creams at health food stores I think.
The most popular, and I've found, the tastiest vegan yogurt is this one. It's actual yogurt, just made with soy. It's not just something yogurt flavored... It can be found in health food stores, and some grocery stores.
Margarine. (careful, some have milk derivatives) Smart Balance, Earth Balance, and Nucoa are some of the options. Smart Balance and Earth Balance are a bit expensive, but very realistic, in fact, I think they taste more buttery than butter. While Nucoa is very cheap, but doesn't taste very buttery.
There's sorbet, with isn't really "ice cream" but It's a frozen dessert, made of fruit, I usually find it too sweet though.
If you have an ice cream maker you could make your own out of any of the milk substitute.
Then there are store bought ones, which most of, are very tasty, there are soy, rice, and coconut milk ice creams mostly, I really like the coconut ones, but the others are great too. I find most vegan ice creams a lot better than cow's milk ice cream.
This page has a lot of helpful information on egg replacers. I've found the 2 tbsp water+1 tbsp oil+2 tsp baking powder, very useful, and it has never turned out bad, except one time I made a cake that called for four eggs... I have however, had a few bad experiences with packaged egg replacers.
If I missed something, please let me know what it is so I can update this.
Also, even if I say a specific brand of something works as a substitute, ALWAYS check the labels, they put sneaky stuff in strange things, plus sometimes they change their recipe.