It all depends on whether or not your whey protein has added sugar. You can find plain protein powders. My favorite mix is as follows:
1 - 1 1/2 scoop whey protein
1 cup frozen berries (blackberries, raspberries, strawberries, blueberries - Cascadian Farms makes is a good one)
1/2 banana (more if you like it sweeter)
8 - 10 oz. whole milk
1 Tbsp almond butter
1 cup frozen broccoli florettes (you won't even notice it and you get an extra serving of veggies in!)
Add a couple of ice cubes if you like and blend it all together. I use the "ice crush" setting on my blender b/c it seems to work best for blending all the way without incorporating too much air into the shake.