What happens when cheese is melted in a frying pan? A guilty pleasure of mine is to put a small block of cheddar into a dry frying pan and cook it. The cheese melts and an oil comes out of the cheese. In this state, the oil drains off very easily and is disposed of. The remaining cheese is very crispy when it cools down. Yum!

What's left behind when cheese is melted and the oil drained off?
Milk proteins, mostly. And some sugars that have been caramelized.

This is an example of what one chef I know describes as "brown food tastes better," and is much like what happens when you sear a steak on the grill.