A report slated to be released in the July 2010 Consumer Reports magazine shows that independent, 3rd party testing has found heavy metals in 15 protein powders. The lab tested for arsenic, lead, cadmium and mercury. Some of the levels are pretty outrageous.

SOURCES
http://www.consumerreports.org/cro/magazine-archive/2010/july/food/protein-drinks/overview/index.htm
http://jimmysmithtraining.com/six-pack-diet/heavy-metal-in-popular-protein-powders/
http://www.tonygentilcore.com/2010/06/does-your-protein-supplement-have-more-heavy-metal-than-a-metallica-concert/