Individually, a considerable amount of research has been conducted supporting the positive effects of whey, creatine, and caffeine taken alone on performance and adaptations to training. Each of these nutrients works differently in the body to exert positive effects.
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For example, whey is a high quality protein digested quickly with a high leucine content for stimulating protein synthesis rapidly. Creatine enhances muscle energetics and allows athletes to train harder, promoting greater gains in muscle size and strength. Caffeine is a well known stimulant that may enhance exercise performance and also enhance fat burning and fat loss. Collectively, there is great potential for these supplements to be complementary.

A proprietary formula containing whey (9 g), branched chain amino acids (1 g), creatine (1.5 g) and caffeine (100 mg) consumed 30 min before exercise was the focus of a recent study. Subjects participated in high intensity interval training for 3 weeks. Thirty minutes prior to exercise sessions they consumed either the active formula or a placebo consisting of carbohydrate. The active supplement allowed the athletes to train harder as evidenced from increased training volume. Measures of cardiovascular fitness were also greater. Percent body fat decreased from 19.3 to 16.1 % in the active supplement group. There was also a greater increase in lean body mass (1.2 kg) compared to placebo (-0.5 kg). The results support the combined use of whey, caffeine and creatine for augmenting exercise capacity and potentially inducing positive changes in body composition in response to short term (3 wk) high intensity run training.

Reference: Smith AE, Fukuda DH, Kendall KL, Stout JR. The effects of a preworkout supplement containing caffeine, creatine, and amino acids during three weeks of high-intensity exercise on aerobic and anaerobic performance. J Int Soc Sports Nutr. 2010 Feb 15;7(1):10. [Epub ahead of print]