There is a bewildering array of protein powders available, with isolate, concentrate, whey, casein, and many others all vying for your attention. They all have good uses, but you should keep in mind a few facts before you buy so you get the best protein powder for what you need.
The most common type of protein powder is from dairy, and the two main proteins contained in dairy are whey and casein. Whey makes up about 20%, and casein about 80%. They both have very different properties and the one you will pick will depend on what you want to do with it. Whey is faster acting, and casein is slower, and so each can serve a useful purpose.
If you are weight training, you will want to consider taking a fast-acting protein powder after your workout, to get amino acids quickly into your blood stream. Whey is idea for this purpose. On the other hand, if you want to maintain a consistent weight or even increase your lean body mass (as in bodybuilding), then casein powder is what you want. Ideally, get both and use accordingly. So what about isolate vs concentrate?
Concentrate is a cheaper version of protein powder, but it still works fine and you can still choose between whey and casein (or both combined, if you want; look for milk protein powders). It is harder to mix, but if you are on a budget, this is fine. Isolate is a more pure form of the protein, which makes it easier to mix with liquid but is also more expensive. It can also be found in both forms.
Lastly, keep an eye out for sugar and fat content. Both have their place. Sugar (such as dextrose and glucose) is good for the after workout protein shake, as it will get the amino acids into your system faster. Fat, on the other hand, is good for maintenance purposes. You will want to stay away from sugar protein powders throughout the day, using them only for immediate post-workout drinks.