There really aren't a whole lot of supps that are worth taking. Most are either straight-up snake oil, or at best over-priced over-hyped versions of moderately useful products that can be had a lot cheaper.
When you say supps are "part of the game", what you really mean is supps are the engine that drives money into bodybuilding, not that they are necessary or even useful for building quality physiques.
Which supps are necessary for building a quality physique? Absolutely none. (unless you're trying to be a pro or something, in which case the correct answer would be "none that you can buy legally")
Which supps aren't
complete snake-oil? Very few.
Protein powder is probably the most useful supplement if you can't get your protein requirements from food, but it ain't steroids, it won't make you "hyooooge and ripppped" and for all practical purposes a cheap one is just as good as an expensive one.
Creatine has been shown to help you get an extra rep or two per set in the gym and will add water weight to your muscles, making them appear fuller, so it's somewhat useful, but again cheap is just as good as expensive, and everything else is hype.
Multivitamins aren't a bad thing to take whether you're a bodybuilder or not.
Glutamine and BCAA's have some scientific backing showing they reduce catabolism in natural trainees while dieting. I personally don't use them, but they probably couldn't hurt.
Ephedrine/Caffeine combos (Bronkaid plus Vivarin or noDoze) are the only scientifically-proven fat burners, and even they really aren't necessary... you'll only be shaving a week or two at best off your cut, although they are usefull as appetite suppressants and energy aids while dieting.
EVERYTHING ELSE is total scam-crap, period. Of course, it is the "everything else" that makes all the money for the folks in this "industry", right Tom?
