Look at the fat amount.
Some brand have huge amount of cholesterol. Try to found a brand with less than 2g of fat per dose.
Yes, the higher the fat/cholesterol content, the higher the amount of Whey Concentrate as opposed to whey isolate. The difference? Well, concentrate is much cheaper to produce, so if the price is as high as the fat/cholesterol content, then you're getting ripped off. I've also heard that the isolate is supposed to be a better (more available to the body) source of protein, but I've heard no details (how much better, etc), and I've seen no studies that show it either (not that I've looked), so take that part with a grain of salt until our illuminati (Leah? dj? tj? tp?) chime in on the matter.
And of course there the difference in fat content, but we already mentioned that, didn't we...
Avoid brand with aspartame.
Um... why? Besides, don't most proteins use Ace-K as a sweetener?