Actually I'll bet you can, or just omit it or even replace it with water or some other water-based liquid. Very few baked good use milk in any meaningful way, which pretty much just leaves cheese and sauces. Of those, cheese is the hard one. I've heard there are vegan cheeses on the market now that don't suck but even assuming that is true they're probably still quite expensive.

P.S. Oh right, there's butter, but shortening has been around for ages and butter-flavored shortening about as long.