My favourite unflavoured protein powder is Any Whey by Optimum Nutrition. It is expensive compared to store brands, but hold up well in cooking and is great for drinking. It tastes a bit like weak milk. Unfortunately it is getting hard to find. Now Foods makes an eggwhite protein that is good tasting, but doesn't mix easily -- they also make an unflavoured whey protein, but I haven't tried it.
For flavoured protein powders, I go with Body Fortress whey protein powder from Walmart. I've tried many different brands, and this one is as good as any, and the price is certainly right. I haven't tried it for cooking but whey protein holds up well under heat so it should be fine.