Well, look at the macronutriens. If it has carbs or fat in it, make sure that it will still accomplish what you want to within your overall diet. (if you're eating it before/after a workout, you may be adding carbs anyway).
With regards to the form of the protein, whey is going to be faster absorbed, and casein typically slower. so whey is typically more workout focused, and casein more before-bedtime focused (if you're trying to build muscle).
Other than that, just avoid things you're allergic, or intolerant to, like lactose, gluten, giraffes, whatever.
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