The best whole wheat bread I've had is from:
1124 W. Grand Ave.
It's sold at the bakery, which is right across the street from May Street Market, so you can combine your bakery shopping with a nice lunch there, and get some toffee from Terry's across the street. They also sell D'Amato's whole wheat bread at Market Place on Oakton in Skokie, but it's often sold out by early afternoon. www.marketplaceonoakton.com