Cultured dairy products are nearly lactose-free - the microbes eat the lactose. So yogurt is generally ok for cats, though they're usually lactose intolerant. (Hedgehogs are much more seriously intolerant, I wouldn't try it with them).

One of the odder kinds of dairy intolerance is "total cow allergy", to beef or any form of dairy. I don't know what the offending allergen is.