Whey waste is a major problem for the dairy industry. Finding alternative means to reduce its pollution potential and produce high value-added bioingredients has been attempted by many researchers. Kluyveromyces marxianus var. marxianus is a dairy yeast that produces beta-galactosidase, allowing for whey fermentation. Also, K. marxianus has been proposed as a source of: (1) oligonucleotides, used as flavor enhancers in food products; (2) oligosaccharides, used as prebiotics to stimulate the growth of Bifidobacterium sp. in the animal and human intestines; and (3) oligopeptides, immunostimulators added to dairy products that are released in the wort after whey protein proteolysis. Fed-batch fermentation can be used as an alternative process to avoid increases in lactose concentration and prevent the catabolite repression of the respiratory enzyme synthesis during aerobic fermentation, thus allowing for high biomass yields. The relevance of these factors on yeast fermentation of whey is summarized in this critical review.