Role of food as an agent for improving health has proposed a new class of food, called functional food, with positive effects on host health and/or well-being beyond their nutritional value. Milk and dairy products have been associated with health benefits for many years containing bioactive peptides, probiotic bacteria, antioxidants, vitamins, specific proteins, oligosaccharides, organic acids, highly absorbable calcium, conjugated linoleic acid and other biologically active components with an array of bioactivities: modulating digestive and gastrointestinal functions, haemodynamics, controlling probiotic microbial growth and immunoregulation. Consumer's increasing interest for maintaining or improving their health by eating these specific food products has led to the development of many new functional dairy products. These dairy products contain many functional ingredients that decrease the absorption of cholesterol, can significantly reduce blood pressure, play role in the regulation of satiety, food intake and obesity-related metabolic disorders and may exert antimicrobial effects. This paper reviews and discusses some of the latest findings regarding the role of milk and dairy products as functional foods.