First off let me start off by saying
that I personally do not believe in the word "cheese strategies", I
believe this game is made well balanced that anything can happen for
a reason that is a reasonable strategy and there is no "cheat
strategies" in this game, and if there was Blizzard would do
something about it. All so called cheese strategies and be
easily countered by any decent player, but can quickly kill your
below average player quite quickly.
In short, cheese is some sort
of early "all-in" strategy that can be very hard to defend against,
but often results in a loss if it fails.
There are 5 major cheeses in Starcraft 2:
Protoss - Cannon Rush
Protoss player gets a forge instead of a gateway, and attempts to
build photon cannons in the opponents base.

Counters: For any race, scouting the probe
and killing it before it can build a photon cannon is your first
priority. If you see a probe enters your base but never leaves
at the start, send a worker unit around and see if he is building
photon cannons and send worker units to kill the probe/pylon.
As Terrans:
1) If you see a pylon being built, immediately build a bunker
near it. It will be complete long before the cannons are, and you
can stick marines in it to fight off the cannons. Even if the bunker
starts taking heavy fire, you can still repair it, while the enemy
probe can only watch as his cannons slowly get whittled down by the
marines.
2) If you don't see the pylon in time (cannons already on the way),
you can lift your command center and move to your natural expansion.
Then just continue your standard game as if nothing happened,
although you will want to get siege tanks quickly to outrange and
destroy those cannons and pylons, or else the enemy will get tons of
warp gates and build his entire army behind your new base.
Protoss can try zealot rushing the towers or using photon cannons
themselves to prevent them from further cannoning your base.
Zerg can build a row of spine crawlers to accomplish the same thing.
You can also send a small wave of fighting units over to your
opponents base to kill off his workers to halt his production, since
he will probably have no protection over there.
Protoss - Gateway Proxy Rush
Protoss player sends one of his initial probes into the opponent's
base and hides his first pylon there. When the pylon is complete, he
builds two gateways and then chrono boosts zealots to attack
Counters: Zerg need to get a few spine crawlers
up ASAP in there mineral lines, and use their queen, drones, and
any zerglings to halt the flow of zealots. Protoss simply
needs to out build them in zealots and maybe use some probes to
help the numbers. Terrans need to build a bunker and get
it filled with marines asap, and protect it at all costs by keep
on repairing it. And of course for any race scouting out
the proxy rush ASAP is important to start preparing for it.
Zerg - 6 Pool
Zerg player doesn't make any drones at the start, instead he saves
up and creates a spawning pool immediately, and does nothing but
make zerglings and attack.

Counters: You will simply need to get a
good fighting units up asap while using your worker units to
kill off the initial waves of zerglings.
Zerg - Baneling Bust
Only applicable if the opponent walls off his ramp with supply
depots or a pylon. Zerg player gets a quick baneling next, makes 5-7
banelings, and uses them to destroy the enemy's wall and flood in
with zerglings.

Counters: There's not much you can do
about this, except for to build units that are not light in
armor and have plenty of hitpoints.
Terran - Proxy Reaper Rush
Terran player sends one of his initial SCV's to build a barracks
near the opponent's base, and at the same time get a refinery so he
can get quick reapers.

Counters: Protoss needs to get a stalker ASAP,
zerg need to get a spine crawler up, and upgrading the zerglings
movement speed helps a lot. Terrans can fight back with
anything they got.
Although, anything in this game could be considered a "cheese
strategy" to someone, while just a regular strategy to someone else.
A "cheese" strategy is one that has a low percentage chance of
working, but is fatal if pulled off successfully. Normally, these
strategies are not used since, by definition, they don't usually
work. However, certain circumstances increase the success percentage
of "cheese" strategies, making them not so cheesy and causing
victims to cry foul. In reality, there is no such thing as a cheese
strategy. Everything is fair.
The six pool is a good example. Normally, maps are set up so that
the six pool is out of the question. Either the distance between the
two bases is too great, or there are multiple starting spot options
so that the 6-pooler would have to guess where to send the lings.
But, in a 2v2 with only 4 starting spots, zerg allies can both 6
pool and cheese rush an unsuspecting opponent. All's fair. The
double 6-pool victim has no one to blame but himself for not
scouting it.
Cannon rushing is another cheese strategy. Again, all's fair. Scout
for it and don't whine if someone catches you sleeping. I have been
playing SC for 12 years and I still get cannon rushed occasionally.
Yes, I accuse the cannon rusher of being a cheese-tactic noob, but
in the end it's my own fault and he walks away with a legitimate
win. (Unless I hold it and come back for the win, then there is much
abuse at the end of the game.)
TIP: Cheese strategies
work well all the way up to the gold league, but platinum players or
higher and I would NOT do cheese strategies, unless you want a good
chance to face a loss.
Don't be a cheeser unless you like cheese!