I ran the numbers and found that whey protein was a little bit cheaper than milk on a protein/price basis. (And soy is even cheaper, if you prefer soy) I usually mix it up with a noncaloric sweetener now to overpower the strong taste.

For a dessert you can mix the powder, peanut butter, a banana, and some dark chocolate together...microwave or blend it. I haven't really perfected that recipe though, I use a cup of protein powder and it's too much relative to the other ingredients.