Any supplements that actually work?

I'm going to the gym 4 times a week with a good mix of cardio and weight lifting. For the lifting I'm just using a little whey protein. Which seems to be going along way. What I'm curious about, is whether there's a dietary supplement that actually works. Like Hydroxycut or one of the other 100 something things I see at GNC. I'm losing a little fat but if I could get the same kind of results from a fat loss supplement that I'm getting from taking the whey. I'd be happy. Does anyone have any firsthand experience with anything that works?