If you're lactose intolerant, then most milk-based protein powders will likely cause you problems.
Whey is a derivative of milk (as is casein), and most "post-work" out formulas contain some form of it.
You may wish to find a reasonably-priced egg protein powder; check online distributors.
Or, search for a blend that is not all milk proteins.
Another option to consider is enzymes.
ON and some others include Aminogen in their mixes, or you could also purchase digestive enzymes yourself.
NOW, Jarrow, Vitamin Shoppe, etc. offer decent products for the price.
I would search for one containing the specific enzyme lactase.
I don't know that this will solve all of your GI problems, but it may make them at least more tolerable.