We've tried quite a few protein powders (for drinks). The best, in my opinion, is egg white protein. The only brand we've tried in egg protein was this one which is very good, but also very pricey:
http://www.amazon.com/Jay-Robb-White...dp/B003757WBK/
Perhaps other brands of egg white protein are less expensive; I don't know.
My daughter and I both can't stand soy protein (which is also not necessarily really good for you). It leaves a strong, unpleasant after-taste for me. My husband doesn't mind it.
I can tolerate whey protein in small amounts. My biggest problem with it is that it tastes sickeningly sweet to me. I normally like sugar, but not this kind of sweetness.
I never tried to cook with any of the above proteins. All of the above is related to how they taste mixed with milk, or in smoothies. Baking may alter the flavors.