My new favorite is to mix whey protein powder (chocolate flavor) with a mix of milk and coffee just before a workout. It has a nice mocha flavor and the coffee gives me a nice little buzz before training.
Alternatively, vanilla-flavored whey protein powder with a little orange juice and water=tastes like a Dreamsicle! I'm a little scared to try this with milk; it would up the protein content but I'm afraid the acid in the OJ would curdle the milk.
Some protein powders are designed specifically for weight loss, others are designed to help you put on muscle. So you have to read the label to see what kind you're getting. The kind I most recently bought was $60 for a 3-lb. jar. I probably won't get it again. It tastes all right and nutritionally it's fine for what I need, but I think $60 is a total rip-off. I have found other good protein powders for half that (it's just that the store I used to go to for the cheap stuff stopped carrying it for a while and I had to buy the more expensive stuff--but now the cheap stuff is back!)
I like protein shakes because they are convenient and fast. I wouldn't base my entire diet on them, though.
If you are worried about being underweight I would look for the kind that are designed to help you build muscle. Usually the label has something macho on it like "Super-Builder Ultra-Man Protein XXX Death Powder of Manliness," which always makes me giggle a little but I suppose it makes the dudes spend money on it.

Cycle these in with a balanced, natural diet and you should be good.