People who are lactose-intolerant are not all the same. Some people produce some lactase (the enzyme which breaks down lactose) and some produce none at all. You really have to experiment (not much fun I know) to find out where you are.
If your body produces a little lactase, then you might be able to tolerate some low-lactose foods (yogurt, hard cheeses, some protein powders). Usually harder cheeses (lappi, jarlsberg) have less lactose than softer, creamier ones (brie, camembert). Some protein whey powders advertise themselves as lactose-free or 98% lactose free or something like that as their particular manufacturing process removes some or much of the lactose. You just have to experiment.
I'm lactose-intolerant and I generally avoid lactose containing foods. But I take lactase pills when I want to have lactose containing foods, and they work fine, as long as I take enough. Remember, they are not a "drug". They are simply the enzyme your body doesnt produce enough of, so if you have a lot of lactose-containing foods,(like a lot of soft cheese) you might have to take more than one pill. Its a bit of a guessing game, but after a while, you can get pretty good at estimating how much to take to match your lactose-food intake.
Breaking the Vicious Cycle that red_series mentions is a good book. It didn't cure me of my lactose-intolerance, but it did cure some other digestive problems. But its a tough diet to follow, because it eliminates all disaccharides (sugar, lactose and maltose) and polysaccharides (starchy carbohydrates like cereal, bread, pasta, rice, potatoes etc) from your diet.