Different proteins have different digestibility: http://en.wikipedia.org/wiki/Biological_value
with soy being quite digestible and also producing the most protein per acre of any crop, making it very cheap. It is however not a complete protein, meaning that you will not get all the essential amino acids that you need if you only eat soy. Animal products are complete (and usually heavy on the branched chain amino acids leucine, isoleucine and valine that are good for muscle growth) but more expensive - 'cept milk and eggs and chicken livers.
Whey has the problem that it is very easily digested (takes about 4 hours) so if it is your main source of protein you have to eat it throughout the day, like every 4 hours.
Any kind of monotony in your diet leaves you open to malnutrition (probably on a small scale though) and since soy is a major ingredient in any kind of processed food today most people get more than enough (see 'cheap'). Protein supplements are good when they don't replace meals but supplement them.