Protein supplement

Whey Protein is a good option and one can easily get good quality whey protein powder from companies like EAS, Universal, ON, Twinlab etc.

At the end of the day, what you need to look at is percentage of protein present in the powder because when you are trying to lose weight, last thing you want is a protein shake giving half of its calories in form of carbs, so the higher it is the better. Of course cost is generally a major factor as well, especially since majority of the high quality and quantity protein powders cost a lot more than normal ones.

Also taste matters a lot, because last thing you want is to drink something which isn't tasty, especially since it might just be the only sweet thing you are drinking in the day.

I have been using EAS 100% Whey (almost done with my third, 2 pound pack) and it is good. Though the new one blend has less protein than earlier and also has somewhat more sodium, but on the plus side they have added Glutamine and at least here, it is one of the cheaper brands available.

Optimum is a good brand (was recommended to me by an employee at vitamin shoppe). You can get it and many other protein powders at vitacost for a lot cheaper than elsewhere. Plus they have free shipping for orders $49 and up. I would definitely recommend whey protein over soy.