There are three main types of whey protein currently on the market: Whey Protein Concentrate, Whey Protein Isolate, and Whey Protein Hydrolysate (also known as Hydrolyzed Whey Protein Isolate).
All three are made from whey, which is the liquid left over during the cheese-making process. This used to be an unwanted byproduct, until people realized they could sell people stuff to make their muscles bigger.
Whey Protein Concentrate
is the cheapest and most common form of whey protein on the market: we essentially remove a good part of the non-protein content of whey, and dry it into a powder.
Whey Protein Isolate
is made after passing Whey Protein Concentrate through a special filtering process, like Cross Flow Filtration (basically just a fancy pipe with holes poked inside it). This gets rid of most of the fats and lactose.
Whey Protein Hydrolysate
goes a step further, "digesting" the protein isolate first. We pass it through heat or acid to break down the amino acids further, which can result in a slightly bitter taste that is often masked by sweeteners and commonly mixed with sour ingredients - think orange or lemon.
The differences in processing levels means that whey protein hydrolysate is the fastest-absorbing powder: this may or may not be what you want, but the more processed a powder is, the quicker it gets into your bloodstream after consumption.
The advancements of processing techniques has allowed us to start developing clear proteins - this means we're getting rid of the "milky" part of the whey, leaving us with just the protein to work with. Although the exact techniques are unique to each manufacturer, we've done our best to combat the issues of foaming, acidity, and questionable tastes on the way to developing a great product.