Mix the oats, peanut butter and whey in a bowl. Add the water a bit at a time until it gets to a consistency that sticks together. (If you add too much water, just add more oats or whey).
For energy balls: toss any combination of chia seeds, chocolate or carob chips and/or dried fruit. With wet hands, roll into 12 balls, then roll in dried coconut.
For thumbprint cookies: with wet hands, roll dough into 12 balls, then squash each ball in the center with your thumb. Fill with a touch of jam or a date.
I would suggest storing these in the refrigerator so they don't become too gooey and soft.