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When To Drink Protein Shakes For Weight Loss The two main types of protein powders are whey and casein. There are many benefits to both, so you may want to consider which you prefer. Whey is the best for protein shakes because it is an easily digested protein that is quickly absorbed by the body. Another benefit to whey is that it contains a host of B vitamins like A, D, and E, as well as iron and many other minerals.