From:  http://www.bbc.co.uk/worldservice/learningenglish/language/2014/03/140311_todays_phrase_cheese.shtml

Say cheese!

Lots of different pieces of cheese
Cheese can be made from different types of milk, such as cows' milk, sheep's milk and goats' milk

Today's Phrase

"Say cheese!" is an expression used by photographers to make people look like they are smiling - because that's the shape the mouth takes when you say the 'ee' sound in the word 'cheese'.
Examples:
We need a picture to remind us of this great party. Everyone get close together and say: "Cheese!"
Why the long faces?! Look at the camera and say "Cheese!"

Take note

The adjective cheesy can be used informally to say that something is cheap and of bad quality, or fake and in poor taste.
Examples:
Some men like to wear big gold chains on hairy chests - but a lot of women don't like this cheesy look.

Interesting fact

Cheddar cheese making in in the English region of Somerset goes back more than 800 years. Records from the King of England's accounts note that in 1170 the King purchased 4.6 tonnes of Cheddar cheese.