A protein supplement is nothing more then a convenient and cost effective way to meet your daily protein requirements. It is not needed per say but it's a really easy way to help meet your protein requirements.
I know myself that I don't have a big appetite and I would have a really hard time reaching 1.5g of protein per pound of body weight without protein supplements.
All protein powders are not created equal. You really need to be a smart consumer in today's market and do your research. Look at the ingredient list and supplements fact panel on every supplement before buying it.
For a whey protein - you want to see nothing but that in the ingredients list. Whey protein, natural flavours, a natural calorie free sweetener like stevia and then maybe some salt, soy lechitin and cocoa powder. There are a lot of good products on the market. I personally use isolation from n2bm.com. A good whey isolate should be pretty much fat and carb free. Isolation has 26g protein, 1g carb, 0g fat per 30g scoop.