Whey protein
Whey protein is the name for a collection of globular proteins that can be isolated from whey, a by-product of cheese manufactured from cow's milk. It is typically a mixture of beta-lactoglobulin (~65%), alpha-lactalbumin (~25%), and serum albumin (~8%), which are soluble in their native forms, independent of pH.  Whey has the highest Biological Value (BV) of any known protein.
Whey is a lactose-free or reduced lactose protein containing a variety of nutrients and essential amino acids. Whey comprises four major protein fractions and six minor protein fractions. The major protein fractions in whey are beta-lactoglobulin, alpha-lactalbumin, bovine serum albumin and immunoglobulins. Each of these components have important disease-fighting effects. In addition, whey protein is easily digestible.
Native whey protein does not aggregate upon renneting or acidification of milk. Prolonged heat-treatment at sufficiently high temperatures and long duration will denature (i.e. partly unfold) the whey protein, triggering hydrophobic interactions with other proteins, and the formation of disulfide bonds between whey proteins and casein micelles, leading to aggregation with other milk proteins at low pH.
Whey protein can be denatured (irreversibly changed) by heat  similar to the protein in egg whites which, when cooked, permanently changes from a clear liquid to a white solid.  When subjected to high heat (like the sustained high temperatures above 72 degrees Celsius (160 degrees Fahrenheit) associated with the pasteurization process) whey proteins become denatured and lose some bioactive compounds like cysteine, an amino acid that is a precursor to glutathione, an antioxidant.
Whey protein typically comes in three major forms: concentrate, isolate and hydrolysate. Whey protein concentrates contain a low level of fat and cholesterol but generally have higher levels of bioactive compounds, and carbohydrates in the form of lactose  they are 29%-89% protein by weight. Isolates are processed to remove the fat, and lactose, but are usually lower in bioactive compounds as well  they are 90%+ protein by weight. Hydrolysates are predigested, partially hydrolyzed whey proteins which consequently are more easily absorbed, but their cost is generally higher.

# Uses
Whey protein contains high levels of both essential and non-essential amino acids, and pregnant mothers are sometimes advised by their obstetricians to supplement their diets with whey protein to ensure that their developing babies get all the basic amino acids they might need.
More than other protein supplements, whey protein powder is commonly used by bodybuilders and other athletes to accelerate muscle development and aid in recovery. Some individuals with suppressed or otherwise abnormal immune systems or degenerative diseases use undenatured bioactive whey proteins to increase their antioxidant levels.  Undenatured whey proteins are a good source of cysteine, a conditionally essential amino acid which is the rate limiting factor for the body's production of glutathione, an important antioxidant.
Examples of commercial whey proteins include those available in most health food stores and supermarket health sections; they typically consist of isolate/concentrate or isolate/concentrate/hydrolysate mixtures and they are usually flavored so they can be mixed with water or milk and consumed as a drink or shake.  It is not always as expensive as you would think, it can be purchased cheaply from any good sports store.