You cannot add protein without adding calories unless you cut back on carbs or fats/oils. Protein from any source has about 4 calories per gram. Common protein sources available as powdered isolates or concentrates are whey, casein (the other milk protein), soy, pea (high in arginine), egg and a myriad of less popular animal and plant sources.

As mentioned above, know the reputation of the company and read the labels. I much prefer to purchase whey protein concentrate (my personal preference) without any flavorings or sweeteners. I buy mine in bulk from a Natural Grocery where I can get the regular for about $6.75/lb or organic for about $11.50/lb. Quality of the protein itself and added ingredients vary widely among brands. Good quality isn't necessarily expensive (don't fall for the $20+/lb designer proteins) but watch out for cheap brands or products with a lot of additives and exaggerated claims.

Protein powders work great in shakes and smoothies, but can also be an ingredient in baked goods (including low-carb) where they add texture and richness. How much you need is highly debatable and depends on your goals, activities, overall nutrition, and even genetics. Most people who aren't on a low-carb diet do well with 1 to 2 g per kg of lean body weight per day. Paleo and many other nutrition plans stress protein intake and some practioners take in far greater amounts without ill effect.

Don't overlook using lean whole proteins like fish, egg whites, poultry, or lean beef or pork. Vegetable proteins can be a bit trickier as many are incomplete proteins from a human nutrition status (lacking in one or more essential amino acids) so must be combined with complementary proteins (beans and brown rice for example). Some plant proteins, like soy actually have all of the essential amino acids but are not as balanced as many animal proteins, so you still might want to add some complementary protein sources.