Answer: Whey naturally contains a large amount of water, which is removed to create whey protein concentrate. Concentrate will contain mostly protein, but also some lactose, fat and cholesterol. Isolate is further processed, and will typically contain less lactose fat and cholesterol.
Other forms of whey protein include whey hydrolysates and ion-exchange purified whey, which may be digested more quickly than concentrate or isolates, a potential benefit after exercise. However, these forms tend to be more expensive, and may contain fewer of the proteins from whey thought to stimulate the immune system.