I buy whatever whey protein supplement is the cheapest. A lot of bodybuilding magazines will have you believe that supplements like whey isolate is superior. However, I do not believe this for a second and is just a way to get you to pay more.
If you are taking a protein supplement, whey concentrate is sufficient in my opinion, and it also tends to be cheaper. As far as brand goes, the ones with less advertising are often cheaper and preferred. Some of these include Optimum Nutrition, Ultimate Nutrition and Sci Fit. Avoid brands like Muscle Tech and Xyience, which are heavily advertised and overpriced.