pmitra,
I love the one I use daily: Mercola's Pro-Optimal Whey Protein. It's pretty much Paleo since it's from grass-fed cows with no hormones or antibiotics, and contains digestive enzymes in it too.
But, protein shakes won't put weight on you if that's your concern. They are used IMO more to ensure adequate nutrition, and enough protein intake.
If you want to put on weight, you could add avocado to your blended protein shake or nut butters such as almond, pistachio, or macadamia nut butters. I would recommend you stay away from peanut butter.