The answer really depends on your goals. A high-end whey protein, such as Advanced Whey, is fast digesting, so it is ideal for when you need amino acids quickly such as first thing in the morning as a healthy breakfast, or after sport or training.
Interestingly, drinking your protein shake before your work-out might be more beneficial in terms of muscle building and weight loss according to a study which looked directly at the effects of different pre-workout drinks on muscle mass and body fat. The study came to the conclusion that the composition of the pre-exercise meal does affect substrate utilization during exercise and thus might affect long-term changes in body weight and composition.
In other words, what you eat before you work out can dictate what you use for energy – carbohydrates, fats, and/or proteins – which modifies what you burn for energy!
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2002 – A preexercise lactalbumin-enriched whey protein meal preserves lipid oxidation and decreases adiposity in rats. Am J Physiol Endocrinol Metab; 283: E565-E572.