Whey protein- faster acting protein, use pre- and/or post-workout if you work out early in the day, ie, more than about two hours before bed. Good all around protein supplement. For best quality without fillers, I would suggest Isopure brand proteins- high quality and high protein content for total serving size, very low carb/calorie/fat BUT somewhat expensive. I am currently using Optimum Nutrition's 100% natural whey, which doesn't taste nearly as good or as high in protein per serving, but is a good deal cheaper. ETA: Recently switched to ON Gold Standard whey for flavor.

Casein protein- slow acting protein, use post workout if you work out later in the day/about an hour or two before bed. Can also be used somewhat as a meal replacement as it tends to be more filling, but remember to get your other nutrients/vitamins/minerals somewhere as it will not provide a ton of them. So far I have only used Optimum Nutrition's 100% natural casein which seemed to work okay but didn't mix very well and tasted reminiscent of ass.

Blended/compound protein- these tend to be a mix of multiple types of proteins (whey, casein, soy, egg, etc) and are designed to offer something of a time release effect. A lot of these are enhanced (see below). Some good examples of these are BSN Syntha 6 and Muscle Pharm Combat- I like both of them, currently using Combat. ETA: recently switched to Gaspari Myofusion, as it is lower in cholesterol and still mixes well and tastes decent.

"Enhanced" proteins- these are most often a blend of proteins with a moderate to high protein content per serving, but add various other supplements like creatine, branch chain amino acids, etc. in. These are pointed to folks that do a fair amount of lifting, etc, as they are mainly designed (or at least marketed) to be muscle gainers, post workout support, etc. Cytosport's Monster Milk and Optimum Nutrition's Hydro Builder are good examples of these, both of which I have tried, and would lean to Monster Milk as the preferred choice in this category.

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I am apparently sensitive to dairy so I can't use whey.  I've been using the EAS soy protein from wal-mart I love the taste and seems to help.  For me I don't think there is a cheaper alternative unless someone here could help me out?

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I use Isopure zero carb post workout in the evening.  Breakfast is 50/50 mix On casein and egg.