Protein shakes are essentially because it's the easiest way to get a lot of necessary protein with relitively fe overall calories. It's a must. But it's just food. (Though one might argue that plasma protein serum is another catagory altogether).
When I think of supplements I think more in terms of either concentrated versions of nutrients that would require more food than is realistic, (i.e a multi) or a substance which affects the body in a way that it goes beyond its natural potential.