I totally understand what you're going through. My son is a picky eater and allergic to egg, milk, soy, fish, all nuts, beans and legumes. He's 10 now, but most of his food allergies occured when he was a toddler, so I've been dealing with this for over 8 years now!
Make sure you join a Food Allergy group of some kind, so that you can get recipes using ingredients your son can eat. Check out the online newsletter, KFA (Kids with Food Allergies) and the Food Allergy and Anaphylaxis Network website. I believe both of these websites sell cookbooks and/or recipes online and have been so helpful for me in finding good foods to make for my son.
My son is not allergic to wheat, but we buy some products that are wheat free. One line of products is Ian's and you can find it at Whole Foods. Ian's sells products that are wheat free, dairy free and egg free (Read the packages to be sure. Some Ian's products have no egg or dairy but might still have wheat.) They make chicken nuggets your son could eat, and Kid Cuisine type frozen meals that are very convenient. My son also likes the Ian's French Toast sticks.
Another option for breakfast food is Van's waffles which are sold at Whole Foods, as well as at some other grocery stores like Jewel. They make a wheat free, dairy free, egg free waffle that might be a good option for your son.
Also check out Enjoy Life cookies and bars either at Whole Foods or Jewel. My son loves them and they are wheat free, egg free and milk free.
One thing I learned from my doctor was that some kids with food allergies to egg and dairy products are able to eat these foods if they are baked for a long time at a high temperature. My son is able to eat banana bread that I make with eggs in it because it is baked for an hour. However, we haven't had too much luck with home made cookies containing egg or butter since they are not baked as long as the bread is.
Hopefully your son will grow out of these allergies. Best of luck.
Updated
Oops-I meant to add this to my previous answer. If you are looking for a dairy-free margarine, you can use Fleishmann's Unsalted margarine. Check to make sure it is wheat free--I'm not sure. My local Jewel carries it.