Raw or pasteurized

Raw milk and undenatured whey has been claimed to be better for you than their pasteurized and ultra-high-heat treated alternatives. Considering, however, that protein simply becomes denatured anyway in your gut (1), it would hardly make sense to care whether or not it was denatured.

But a French study in the latest J Nutr and other studies explain that when milk protein is exposed to ultra-high heat (but not pasteurization), digestibility and nutritional content due can be affected (2-4). The change occurs not specifically due to denaturation, but due to Maillard reactions (reaction between amino acids and sugars) from heat, production of unusual amino acids such as furosine, and reduced availability of essential amino acids (2-4). Pasteurization resulting in partial denaturation of milk and whey has also been shown to create a biological significance on the bioavailability of nutrients such as folic acid (5).

Still, I fear microbes, so suggest avoiding raw milk. Instead, try low-temp processed milk. Undenatured whey is good because it's filtrated, the cleaner the better for flavor.

Reference List
1. Gropper SS, Smith JL, Groff JL. Advanced Nutrition and Human Metabolism. Belmont, CA: Thomson Wadsworth, 2009.
2. Lacroix M, Bon C, Bos C et al. Ultra high temperature treatment, but not pasteurization, affects the postprandial kinetics of milk proteins in humans. J Nutr 2008;138:2342-7.
3. Corzo N, Lopez-Fandino R, Delgado T, Ramos M, Olano A. Changes in furosine and proteins of UHT-treated milks stored at high ambient temperatures. Z Lebensm Unters Forsch 1994;198:302-6.
4. Mauron J. Influence of processing on protein quality. J Nutr Sci Vitaminol (Tokyo) 1990;36 Suppl 1:S57-S69.
5. Gregory JF, III. Denaturation of the folacin-binding protein in pasteurized milk products. J Nutr 1982;112:1329-38.