Baking with Whey Protein
I bake extensively with whey protein concentrates and isolates. Well, to be clear, a combination of whey protein concentrates/isolates and other non-wheat type flours (flaxseed meal, almond flour, coconut flour, psyllium husk powder, etc.).

One thing to mention right off the bat is that whey protein and gluten do not mix. Well, let me explain. In some of my low-carb baking for yeast-raised breads/pizzas, I use vital wheat gluten (VWG) at around 40 - 50% of the total flour weight (see my answer here). Like one would expect, mixing plain VWG with water normally produces a rubbery, elastic dough that can immediately pass the windowpane test. However, if I mixed, say, 20 g of VWG with 10 g of unflavored whey protein isolate and added 30 g water, I would end up with a thick, liquid-like soup — almost a batter: absolutely no ability to hold shape or structure. (I think) the whey protein basically shreds the VWG to pieces. I am still researching why this behavior occurs, but I think it may have to do with whey protein being a super-concentrated source of glutathione (which is why you usually scald milk before adding to wheat flour recipes) and/or L-cysteine. (L-cysteine is the active ingredient in PZ-44, a commercial dough-conditioner). Now, whether this same behavior will carry over to baked goods made with wheat flour + whey protein, I don't know, but it's certainly something to watch out for. Granted, it will likely have a greater effect on baked goods that rely more heavily on gluten for their structure. Interestingly, casein (the other major milk protein), or more specifically, micellar casein, does not exhibit this same destructive behavior, cooperating well with gluten and working alongside the gluten network to provide structure.

Second, at least in my experience (which doesn't include wheat flour), whey protein concentrates/isolates seem to have an extreme drying effect on baked goods, similar to egg whites. For example, if I were to take ¼ cup (28 g) of flaxseed meal and add an egg, it would bake up to have a moist, muffin-like texture. In contrast, if I were to take an equal amount of whey protein isolate and an egg, it would bake up to an inedible brick: chalky and desert-like in its dryness. While previously I was at a loss for why this was occurring, in the process of writing this answer, I realized it's likely because as the proteins set, you're squeezing out the moisture, and without any other hygroscopic ingredients, that moisture just evaporates. This same drying behavior would likely also occur with wheat flour. So, depending on the amount of whey protein used, it may be necessary to counteract that by including hygroscopic ingredients (sugar, flaxseed meal, psyllium husk powder, etc.).

In my experience, (again, which doesn't include wheat flour), whey protein concentrates (75%) are not equivalent to whey protein isolates (90%). I just learned this the hard way. I developed numerous recipes using whey protein isolates, then trying to save a few bucks, I ordered whey protein concentrate instead of isolate. None of the recipes I developed with isolate worked using concentrate (they'll require re-formulation of other ingredients). Since the amount of protein in isolates is higher than in concentrates, isolates have a higher "drying power" and can support the addition of a greater amount of non-egg moisture. Granted, these whey proteins were making up about 50% of my total "flour" by weight. (For an example of such a recipe, see the Buttermilk Pancake (Coconut Flour + Whey Protein Isolate) in my answer here). Consequently, assuming you're using wheat flour, I don't think this difference will be as big of an issue since you'll be using a much smaller amount.

Since I use it so often for baking, I go with unflavored whey protein isolates/concentrates, as they're the most versatile. They're unsweetened and unflavored, so I can have more control over the end product. In my case, this is usually something I have to get online, as most stores I've been to will only carry flavored proteins. If you do go with a flavored protein powder, vanilla is probably the next most versatile, as vanilla is usually at home in a lot of potential recipes. Since the protein powder is usually sweetened, you may need to adjust the recipe's other sweeteners (but do keep in mind the need for hygroscopic ingredients).