pes, i'd advise going for lactoveggie to start with - veganism is pretty extreme, unless you know what you're doing. stick to dairy first, and then, if you still want to, go for veganism when you're used to it.
soya products are generally revolting, although they have got chemicals which are similar to female hormones, as pete says.
veggie cheese is veggie cos of the rennet, as normal rennet is made from animal products (calves' stomachs, basically).
don't go beserk straight away, cos you need to know how to get a balanced diet. when i turned veggie (i was eighteen), i didn't eat much meat before anyway, and knew a lot about food and nutrition. if you google "vegetarianism", and then the UK pages, there are loads of sites with good advice: try the vegetarian society, peta, etc.