Whole grain flours means it has the goodness of the bran and germ too. Refined flour like all-purpose flour is milled only from the endosperm. Even though it is fortified by adding vitamins and minerals, it does not have the fiber and protein of it's good counterpart. So it's always a good idea to incorporate whole grain flours in baking recipes. Yes the taste and texture will feel different initially but you can get used to it when done regularly and over a period of time your taste buds will be accustomed to the new taste and you wouldn't want to go back to using the refined flour.
Check out this page for recipes which will make you go "I can't believe that these recipes are made using whole grain flours and yet they are yummy"!