substituting white all purpose flour with whole wheat flour
Whole wheat flour is denser, has more protein and tends to dry out products. To compensate, sift more, do not overmix, and up your wet ingredients slightly. From eHow. TLC confirms that whole wheat flour is higher in protein because it is milled from hard wheat which is naturally higher in protein, and then ground whole wheat flour is 25% higher in protein than all-purpose flour. 

Some sites (including TLC) recommend only subsituting out up to half of white flour with whole wheat, except if you're using white whole wheat flour (see below).

My secret weapon is white whole wheat flour, which is lighter than standard whole wheat flour and tastes more like white flour but has the same health benefits as the whole wheat flour we're used to. Because so many people are looking for whole wheat recipes, you may want to try a recipe that is specifically designed for whole wheat flour--both for taste and texture. Try King Arthur Flour for recipes (they make my favorite white whole wheat flour, and they have a recipe for whole wheat biscotti!).