Protein shakes are one of the "easiest" methods of consuming whey protein. Not only are shakes easier to consume - since you just drink it! - but they tend to taste pretty good as well.
The good taste portion is the one to look out for though. There are some protein shake products which have alarmingly high levels of ingredients you may not want to be consuming. Even if a shake claims to be "all natural" or "low fat", there are things to be aware of. Many shakes will add "natural" sugar to the shake mix to make it taste better. Since most consumers of whey protein products are trying to live a healthy lifestyle, obviously consuming a lot of sugar is not the thing they want to be doing!
Some of the other ingredients to be aware of are the non-natural variety. Many brands of shakes, again in the pursuit of making a better tasting shake, will add artificial sweeteners to the ingredients. Commonly found sweeteners include sucralose (like Splenda), aspertame, or dextralose. Many people have no problem with consuming these sweeteners, but some others are concerned about their possible long-term effects... so whichever camp you fall in, just be aware that these shakes do often contain these sweeteners and do your research!
The overriding benefits of whey protein shakes are excellent though- using the right brand, you can consume large quantities of protein without the associated problems of trying to consume protein the "old fashioned" way- eating lots of meat or eggs, and thus also cosuming a lot of fat in the process.
Whey protein shakes come in two major varieties - powered or liquid. Powdered will save you money because you can purchase the shake "mix" in larger quantities, and store it for a longer time. The downside of a mix is you have to blend or mix it up with water or milk before drinking it. This doesn't take very long, but performing this step every single time you wish to drink a shake can add up over time. It can also be a bit messy to mix up if you want to drink the shake at your office of gym.
Liquid form shakes (ie, already mixed) are a bit more expensive, and not as easy to transport, but they are the right solution for many protein consumers. Especially for drinking at your office, or for taking on hiking trips, the liquid shake containers are the only way to go. Whether you decide to drink pre-mixed shakes or mix your own when you are at home is a decision you can simply do a cost-benefit analysis on... how valuable is your time, and is saving a few minutes a day in prep time worthwhile? For some (maybe you), the answer will be yes.
So now you know one more answer to the question, What is Whey?