Say "cheese" is an instruction used by photographers who want their subject to smile. By saying "cheese", most people form their mouths into what appears to be a smile-like shape. Additionally, the absurdity of saying "cheese" for no apparent reason can incite glee in some people.
As this practice became ingrained into modern western culture, it has taken on the simple role of a final warning before a photograph is taken. Often subjects will simply use the phrase "say cheese" as a cue to enter their final pose and to smile, neglecting to actually say "cheese".
Over the years, many other words have been used in place of cheese. For comedic effect, a photographer might say "Say ______" filling the blank with a word relevant to the event or action he is photographing (for example, "Say wipe out" during a seaside photograph). Other times a person will fill the blank with an absurdist or seemingly arbitrary word of their choice.
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In Penrith, England, a challenge to people you may think are lying used to be to repeat the word "cheese" ten times and if you laugh, you are not telling the truth. This challenge was simply called 'Cheese'.[1]
Perhaps due to strong Western influence, especially in the realm of photography, and perhaps due to increased numbers of Western visitors after photographic equipment became widely available, the phrase "Say cheese" has also entered into the Japanese language. However, the word "say" is almost always dropped from the phrase, resulting in the phrase simply being "Cheese." This is usually pronounced in Japanese (and written in katakana) as "chiizu" (チーズ).
Other languages have adopted this method, albeit with different words that sound similar to cheese to get the desired effect of shaping the mouth to form a smile.