A very good question. Also, a very hard quetsion to answer. If you need this answer, you need to actually take a look at your diet. What nutrients do you know you are getting enough of, what are you lacking. Then, after youve figured all that out, how do you know which supplements to get? There are so many different brands!
I personally take two supplements every morning. I take a natural, cold water fish oil (omega 3's), and I take a multi-vitamin. I think mulit-vitamins are great, but you have to check the ingerdients and how much you are getting of each nutritent. Too much, and you might just be buying yourself some expensive urine! haha. I am also looking into taking Vitamin D3, and a probiotic.
Proteins? No way Jose! If you are eating right, you are getting enough protein anyway. Just like other nutrients, your body can only store so much of it. Energy booster, fat burners, pre workout drinks.....no way! Think natural, almost nothing in those things is as mother earth intended. If you fear you are in need of more protein, there are other options (hemp, vegasport, etc). If you feel you need the whey (not paleo), then make sure it is a whey protein isolate, the more organic, and smaller ingredient list the better.
Here are some good articles you can do your own research on: