I recently had to look at the types of rye flours available to me. It seems that in the United States there are no real standards with regards to what is sold under different labels. As a result, you can expect to have to adjust your recipes to make things work out well. In order to save you some time, here's a description of the various rye flours on the market today.

Rye Flour Type	Description
Light Rye	This is comparable to white wheat flour. Most of the bran has been sifted away. It handles very well, but it is so light in flavor that I don't use the stuff.
Medium Rye Flour	This is comparable to a mix of whole wheat and white flour. It has more bran in it than Light Rye. It handles pretty well and has a very nice flavor. It is, overall, my favorite rye flour. Too bad that grocers don't seem to carry it any more.
Dark Rye Flour	This flour is best avoided. Some mills package whole rye flour (see below) and call it dark rye. Others package the bran that is removed from making light and medium rye flours and package it as dark rye. It's like Forest Gump's box of chocolates - you never know what you're gonna get. I prefer to avoid this product.
Whole Rye Flour	This is comparable to whole wheat flour. All the parts of the rye kernel are included in the flour. As with all whole grain flours, if you aren't going to use it quickly, you should refrigerate or freeze these flours. This has become the most available rye flour in the United States. It is very flavorful, but it can seriously impact how high your breads will rise.
Pumpernickel Rye	This is another area where there are no standards. It can be very coarsely ground rye meal, it can be a flour, or it can be flakes of rye. If you are making an American style pumpernickel with coffee, molasses and other odd things in it, you don't need this flour. If you are making a German style pumpernickel, you don't want it. If you want to make a German style pumpernickel, you should head over to Samartha's Pumpernickel Instructions. Samartha makes the best rye breads I have had in the United States. And his pumpernickel is just amazing.
Rye Chops	This is a very coarsely ground rye, akin to cracked wheat. Millers joke that when they make rye chops, three pieces come out of the mill for every two that go in. It is often used as an accent grain to add crunch to bread, and it is the cornerstone of a true German pumpernickel. Some Pumpernickel flours are rye chops, but not all are. These can be prepared at home using a Corona mill, or a grain mill or flaker attachment to many common stand mixers.