Any side effects of protein supplements like whey protein? and by the way, are these supplements effective?

Great for you: I am going to assume that you're buying from a reputable source and that the containers have been sealed from the manufacturer to prevent their being tainted. A vegetarian will probably need a protein supplement; they'll help you get bulked only if you're doing serious resistance training. Creatine and an electric muscle stimulator (if your physician approves) will also help you get mass.