Is there a particular reason why you're looking at protein powders rather than regular food? Are you vegan/vegetarian?
I buy an unflavoured whey isolate with no additives, so I have the option of what to mix it with. I find isolate slightly easier to digest and lower carb. It is a fair bit more expensive than just whey concentrate though, and the difference isn't that big.
I still try and get all my protein from whole foods as often as possible though. I'll have a shake on days when I've trained but not managed to eat as much, but usually I get it from fish, chicken, eggs, nuts, peas and seeds.
As for mixing protein with coffee - I tried once and found it utterly vile!