Protein shakes are a big can of ripoff with a fancy name and a pretty label.
For one, no one needs the amount of protein that one of those things offers. Even for powerlifters, the maximum amount of protein you need is 15% of your total caloric intake. The body has its own mind about how much protein it's going to use to build up your muscles; as long as you pull in enough protein, you won't have a problem. It does not reduce soreness, as an excess of protein is simply converted to fat.
What does give you a problem is an excessive amount of protein. For one, it slows down the digestive process. Also, the body has no problem changing excess fat or carbohydrates into body fat, as they're all made of exactly the same thing, but, since protein has one thing fat and carbohydrates don't, nitrogen, that must be stripped off and expelled from the system before it can be stored. That nitrogen comes out through your sweat, urine, and breath.
This process wears down your kidneys faster than usual also, because the kidneys have to process the nitrogen before it gets to your sweat glands, et cetera. Wearing down your kidneys is very bad; they are an emergency anti-poison system and not designed for regular use. Ever hear of medical weight loss clinics? They use an Atkins-esque diet where protein is substitued for carbs, but they have to monitor you closely, because if your nitrogen levels get too high...well, you die, in the worst case scenario.
On top of all that, if you pull in too many calories, it will just make you flabby.
Now for the "advanced protein" garbage. Protein is made of four simple things: carbon, hydrogen, oxygen and nitrogen. Proteins are divided into two simple categories: essential and nonessential. Essential proteins are those the body cannot manufacture by itself and must be ingested to ensure the highest functionality; nonessential proteins can be made by the body. Essential proteins can be found in any meat products. This is all your body needs and uses. Anyone telling you they have made a "new, high-tech protein" is just telling you about all the little protein chain types that you're already eating, but just didn't know the names of.
Most shakes will also load you up with an excess of vitamins, claiming higher energy levels and a bunch of other filth. With all the vitamins apart from A, D, E, and K, if you overingest them, they leave through your urine. These are the water-soluble vitamins, the ones that dissolve in water. There are some cases in which you can overdose on them, but it's generally very difficult. However, for A, D, E, and K, pulling in more than 100% of the Daily Value slowly causes you to overdose, as these are fat-soluble vitamins, and stay in your fat until the fat goes or until you use them. Keep that in mind.
Also, absolutely NO supplement has been evaluated by the FDA. What that means is they can put absolutely anything they want in these things and they don't have to be truthful about what they do to you. They could put powdered cow tongue in the bottle and tell you it'll make your muscles grow to twice their normal size in two months. So, with whatever supplement you get, make sure you trust the company.
Want a great, cheap, maximum-effectiveness protein shake? Go down to your local grocery or supermarket, and pick up dry milk. Make a shake out of it. The end.