Whey and casein are different protein fractions from milk. Whey is the liquid remaining after milk has been curdled and strained—in other words a byproduct of the manufacture of cheese or casein. Cheese (and its isolated protein, casein) is a higher quality protein, primarily because of its amino acid ratios. Ironically, my first statement about whey is partly wrong, because it turns out it may have some minerals (importantly potassium and magnesium) but that largely depends on the manufacturing process. Always check your nutrition facts label to see what vitamins and minerals they left in your protein powder. Casein is a common protein used in the formulation of diets for rats in scientific experiments, probably because it checks off so many nutrition requirements, but in a laboratory they put missing nutrients such as potassium and magnesium back into the food when manufacturing processes drain them. Many of these problems associated with lack of completeness in the food or supplement can be solved by simply drinking milk instead of going down this laborious route of creating your own whole food from parts. Or alternatively use supplements as intended: as a minor addition to a fairly complete meal that needs a little more of some class of nutrients.
The following article goes into detail on why the whey fraction of milk protein is not ideal because of it's high ratio of tryptophan which will contribute to higher levels of serotonin. It quotes many different scientific studies:
http://www.functionalps.com/blog/2012/02/01/whey-trytophan-serotonin/