Cathy, whole grain breads can be a bit more difficult that white breads. Too often they turn out barely risen, chewy bricks. All has to do with gluten development and enzyme action. This gets worse with things like pumpernickel, which have heavy flavorings like molassas.
Best bet is to start with what are called "transitional" breads. These are doughs that use regular white bread flour as well as whole grain. With these, you get the gluten development from the bread flour with the taste of the whole grains.
BTW, most store bought (if you mean at the market, rather than at a bakery) "whole wheat" "multi-grain" and other whole grain breads actually are transitional. Check the labels if you don't believe me.
Also, you can substitute up to 25% whole grain flour in any bread recipe with no poor effects.
As you progress to true whole grains there are ways of increasing gluten development. Sometimes additives do it, and many people go that route.
A better bet, in my experience, is to get a copy of Peter Reinhart's new book "Whole Grain Breads." After much experimentation, consultation with other artisan bakers, and using more than 300 field testers, he came up with ways to use delayed fermentation and preferments with whole grains. The results are spectacular.
I'd never been successful getting a whole grain bread to rise properly and give me the light, open crumb you find in store-bought bread. But from the first, using his techniques, all that changed. I've made four different breads from his book, and they all came out perfect.
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