Well, there are different kinds of protein and they are good for different parts of the day. Whey protein is faster absorbing and is best just before and just after a weight workout, to help get the protein to the muscles fast for recovery. Casin protein is slower absorbing and is good at other times of the day to sustain. There is also soy protein, which I know less about, it's of course great for vegans that don't eat dairy, from which whey and casin are derived. Bottom line though is the best times are just before and after your workout, and take whey protein during those times.
Also, oddly enough, even though whey protein is faster absorbing, it helps you feel full for longer. So it's good in that respect for weight loss as you won't get hungry again as quickly.