Whole wheat bread will always be fairly dense. The closer to all whole wheat the denser.
I don't have a bread machine, but bake bread about every other day. I use the "no-knead" method that Mark Bittman and Jim Lahey made famous. You mix the ingredients, let sit for 12-24 hours, then do a short second rise, then bake in a preheated cast iron dutch oven. The bread is fabulous. Using all white flour is amazing, but the bread is still very good to me using 2 parts whole wheat to 1 part white. You can also easily add stuff like raisins and walnuts or olives.
http://www.nytimes.com/2006/11/08/dining/08mini.html?pagewanted=all&_r=0