Here's some information that I've picked up that may help you out.
You will generally find the following types of protein powder: whey, casein, egg, and soy. Protein powder also comes in different grades: concentrates, isolates, and hydrolysates. Each of these protein types and grades has unique properties and tastes.
Milk protein is 20% whey. Whey is by far the most popular protein choice, perhaps because it is so cheap. Whey protein contains large amounts of branched-chain amino acids as well as the full spectrum of amino acids (i.e., every muscle building block you need). Compared to the other proteins on the market, whey is one of the fastest digesting proteins (hydrolysate > isolate > concentrate).
Whey Protein Concentrate vs. Whey Protein Isolate
Protein concentrates are created by pushing the protein source (milk, whey, etc.) through a very small filter that allows water, minerals, and other organic materials to pass though. The proteins, which are too big to pass through the filter, are collected, resulting in protein powder. When this process is used to make whey protein concentrate, it yields a protein powder that is 70-80% protein and up to 5% lactose. People with lactose intolerance will have trouble consuming large amounts of whey protein concentrate.
Protein isolates. This is the next step up in purification; the protein is purified again using more filtration or a technique called ion-exchange or cross-flow microfiltration. Protein isolates have very low levels of carbohydrates and fat and are almost exclusively pure protein. People with lactose intolerance usually don’t have trouble with whey protein isolates. Many companies that make whey protein isolates will certify that their product is lactose free or they add lactase (the enzyme that breaks down lactose) to the protein powder to help with digestion.
A really interesting area of protein research is looking a whey protein peptides (i.e. short chains of amino acids). Studies are showing that these peptide chains have additional benefits independent of the actual amino acids. For example glycomacropeptides are found in whey protein. They have been shown to cause your body to release the hormone CCK which signals your brain that you are full.
A significant portion of the population experiences severe digestive issues following consumption of whey protein powder. These may include gas, bloating, cramps, tiredness, weakness, fatigue, headaches, and irritability. The cause of these digestive problems has not yet been determined, but is reported frequently on strength training forums. These digestive problems, however, may be primarily caused by the user's lactose intolerance and not the whey protein itself.
It should be noted that similar symptoms can be caused by ingredients found in lower quality protein powders such as lactose in whey protein concentrate or artificial sweeteners in most commercial protein powders. The effects of these substances can be distinguished from the effects of whey alone by switching to an unsweetened whey isolate or hydrolysate. If symptoms are not eliminated by switching to a more pure form of whey protein, many alternative powders, such as pea protein or rice protein may be suggested.
My overall understanding is that if you don't mind the taste and it doesn't cause any side effects, stick with the less expensive concentrate ..... it is actually more nutritionally beneficial anyway.