What types of alternatives do you like to have since you can't consume milk? 
Usually milk substitutes are liquid, such as rice milk, soy milk, or almond milk.
I'm not lactose intolerant, but I dislike the taste of milk. I like almond milk. The new flax milk is good too. 
I like almond milk as well, especially its creamy texture and nutty taste.
Lactose is the milk sugar, so are you able to eat cheese (which doesn't have sugar)? 
Some people with lactose intolerance can handle more than others, so it really depends on the cheese. The harder the cheese the less problematic it is.
What do you prefer to use for baking in place of milk? 
Since milk allergy is a reaction to protein constituents of cow's milk, I prefer to use almond milk to bake.
How old were you when you diagnosed with lactose intolerance? 
I was eight years old. It is tough to change your diet at that age, but it was better than all of the abdominal pain, bloating, and such.
You're not missing much. Milk is overrated, and for babies not adults.