Try the cheese grana padano#15 of 30 things to do in Milan
It's grainy, slightly salty cheese with an unusual nutty aftertaste. The main difference between this cheese and parmigiano - in the process of feeding the cows that give milk for its production. For parmigiano cows eat only grass and hay, whereas Grana Padano does not require such strict rules.
Grana Padano is perfect for red wine, it is eaten with a vegetable salad, figs, nuts and fruits.
You can buy cheese in the markets or in specialty shops around Milan. Pay attention to the marking - the real cheese will have DOP mark of quality.