Sally Fallon's book, Nourishing Traditions, has many recipes for fermented veggies, including pickles, using whey. At a quick glance, her one quart recipe for cucumber pickles includes 4 tablespoons whey.
I've never done it before, but I'm planning on trying whey as a starter with my sauerkraut this year. Mother Earth News had a recipe for a Tabasco-style pepper sauce, with the pepper pulp being fermented for a month. I plan on trying that, too, if I can get enough peppers and will use whey in the make.
If you try it, please let us know what you think.