When I was making yogurt, no, I didn't. Not much whey was produced when I got it all right, anyway. If the yogurt didn't incubate correctly (got too cold while it was supposed to be staying around 100°F for 8-12 hours), it would be clumpy and mostly whey. In that case, I'd still eat it all.
I've read that some people will add it to smoothies since there's plenty of good nutrition in it. You could also bake with it (use it instead of water or some other liquids).