I only tried unflavoured whey one time (got a 1kg sample) and went straight back to flavoured - It was
disgusting!
Can't honestly say whether it tastes exactly like skimmed milk, since I don't like milk either

but what I can tell you, is the stuff I had was an off-white colour, pale cream almost. It was sort of more 'fluffly' than my regular whey, if you can understand that, and also had quite a strong odour. It tasted creamy, but not nice (for me), so I flavoured it with milk shake powder, but it still had a rather unpleasant aftertaste IMO.
I believe the main costs invlolved 'normal' flavoured whey products is incurred in the processing of the product, and the actual whey itself should be very cheap if it doesn't have to go through the refining/flavouring processes. Actually, I think it's a waste by-product produced when creating cheeses or some such thing (some-one will correct me I'm sure).
Hope some of my rambling helps! If you found a cheap source and can stomach the taste, then I'd say go for it
Rob.