I use them. Whey is from milk; it and egg are very good. Soy as a rule isn't absorbed as well and doesn't have the same balance of needed amino acids (though it's one of the relatively few non-animal sources of complete protein, and does have other benefits). I usually get whey powder, chocolate flavored. I'm not loyal to any one brand.
Definitely, focus on food, not supplements.
Definitely, focus on food, not supplements.