Whey is a by-product of cheese manufacture that is normally treated as a waste. However, it contains amixture of proteins with important nutritional and biological attributes. To extract these valuable proteins, whey fractionation has been developed using three main techniques; namely chromatographic (e. g., ion-exchange and hydrophobic adsorption), membrane (e. g., traditional pressure-driven and electro-separation)-, or combined methods. Recently, new promising techniques have been introduced such as aqueous two-phase separation (ATPS) and magnetic fishing. This article reviews the use of these techniques together with an evaluation of their performance regarding the yield and purity of two major proteins in whey.