I'm new, but I was reading MMM's post on groceries and I noticed that whey protein is a thing folks here like to buy. The post specifically calls out Boulder-area Natural Grocers as a bad shopping choice, but I thought I'd share that they do sell 1 pound bags of bulk whey protein for about $4 or $6/bag (I buy in bulk and haven't had to buy any in a while, so I forgot the exact number...it's low). It's the best deal I've seen (I'm in Boulder as well).
They get it from a local cheesemaker, so it's got a yellowish colors and the taste is really not great, but as long as you don't just mix it with water, it sort of grows on you.
Not sure if this is something you can find outside the Front Range area, but I thought I'd share in case.