First of all, u should be aware of your health status. For example, a woman should not be on any medication, pregnant, or lactating especially if she likes to use any kind of high end supplements.
But i can tell that consuming trusted protein supplements are of no threat at all, but in turn it helps body functioning a lot.
It is different with the case of Creatine. Even though it has no major side effects, some use to have slight diarrhoea, dehydration(only if u don't drink enough water) etc. But none of these are of any seriousness. The only thing is that u drink lots of water.
At the same time i seriously warn you from the use of steroids. I never encourage anyone to use steriods but always advice to restrain from its usage.
There are lot of bodybuilding food supplements, but as far as you have not specified any in particular, i've just mentioned about the most used only.