I am not a paid endorser of the product above. That would be lovely, but for now, I am merely a freshly minted Greek yogurt addict. I'm not joking. On Wednesday night I bought 8 or 10 tubs of the stuff. A sliced banana in the honey-flavored variety pretty much sends me into raptures. I really can't risk running out, because not only is it amazingly delicious, it's way better for me than those Thin Mints in the freezer.
When we were in New York last month, my cousin introduced me to it, and soon thereafter, my yogurt life changed forever. Even the nonfat version is silky and creamy and rich-tasting, and because it's very high in protein (the cup above has 14 grams), it sticks with you for a good long while. It's also great in recipes; the tandoori chicken I made with it was fantastic, and I understand that it doesn't curdle during cooking like other yogurts do.
If you can't find any in the store, though, I have good news for you. The only equipment you need to make your own is some muslin or cheesecloth or a dish towel, and a seive, because the thing that makes Greek yogurt Greek is a distinct lack of liquid. That's it. No special culture, as I thought. No fancy milk (though some is traditionally made from sheep's milk).
So you can either strain some conventional yogurt, or you can make your own, which is a simple process. You heat some milk, cool it slightly, add a bit of yogurt, put in a warmish place, let it set, and then strain it. Here's the long version of the recipe. Bon appetit! (I'd say it in Greek, but I studied French...)