When baking rye bread, you generally have several rye flour choices. The best flour to use depends on the type of bread you are baking and how much rye flavor you want. Some recipes will also specify a certain type of flour over another. Common varieties include pumpernickel, whole rye flour, and medium rye flour. Light or white rye usually has such a light flavor that some bakers prefer to avoid it.
Usually, in the United States, both medium rye and pumpernickel flours are types of whole grain flour. The pumpernickel flour is commonly used to make pumpernickel bread, a hearty, dark sandwich bread. Medium flours are typically used for regular rye bread recipes. Pumpernickel flour is usually ground more coarsely than medium rye, which is why it produces a darker bread. In some cases, pumpernickel flour isn't actually flour, but is ground to the texture of a meal or even rye flakes.
Medium rye flour or flour simply labeled as "rye" is a standard pick for baking bread. You will get a moderately flavored loaf if you use medium flour. Another option is to use a blend of flours if you want to make a soft, sandwich-style loaf of bread.
If you want to make a darker, stronger-tasting version of rye bread, you can use pumpernickel flour instead of medium rye. Some bakers don't recommend using pumpernickel flour at all, though, as there is no clear definition for what it is. Using whole rye flour is a safe bet for dark breads and pumpernickel breads, as you are guaranteed to be using an actual flour. As these flours typically have a low gluten, or protein, content, most bakers mix them with some all-purpose wheat flour to produce a loaf of bread that is not too dense.
Similar in texture and taste to all-purpose or white wheat flour, light rye flour is so finely milled that a lot of the rye flavor is gone, meaning it is not usually a good choice for baking breads. If you are making cookies or other delicate pastries using this flour, a light flour may be the best choice.