When it comes to protein shakes, you want Whey Protein Isolates (WSI). This is just a certain type of protein, not a brand. For the past several months I have been using Optimum Nutrition: Gold Standard 100% Whey (Double Rich Chocolate). I just use water to mix it, it disolves well with just a spoon and suprisingly it tastes pretty good (for a protein shake). You can get a 5lb bucket for around $45.

 

ON gold standard is the best

 

Also you should look into Kettlebells. They are a Russian training invention and have a knack for doing exactly what is needed. Skinny people bulk up, heavy people shed pounds.

 

I agree with a few of the previous posters that building muscle is 70% diet. By diet I mean what you eat, not the South Beach Diet. Eat lots of protein, lots of carbs, and normal amounts of fat. Don't get too hung up on that though, from the sound of it you're a naturally lean person.

Keep in mind that not all protein is equal...eggs are one of the few sources that contain all the proteins your body needs. Some of those huge guys you see on TV, such as WWF wrestlers, eat dozens of eggs daily.