In a recent experiment, two groups of body builders were put on a 10 week training program - one group used a whey supplement, the other casein.
After 10 weeks, it was found that the group using whey had gained significantly more muscle (5kg vs 0.8kg), lost more fat (-1.5kg), and had made significantly greater gains in strength compared with the casein group.
The mechanism for the difference wasn't clear, though the absorption rate is likely to be a big factor - in order for your muscles to grow, you need protein and amino acids to be available as soon as possible after your workout in order for protein synthesis to occur.
The conclusion:
The evidence seems pretty clear - if you're looking for more muscle, less fat, and increased strength, there's only one whey to go!