You don't need much protein to gain weight, it's the least anabolic of the three energy sources. But if you want to gain muscle as opposed to fat, you'd want to make sure that you get decent amounts of protein. If you eat the right food, you don't need supplements, at least not before you reach a very advanced levels, but most people don't eat right.
The same goes for losing weight, you want proteins to make up a large amount of your food. But of course you also don't want to eat too much. Don't starve yourself though, that will be conter productive in the long run. The most important thing is to burn calories through exercise.