There are a lot of different rye flours available, including light rye, medium rye and pumpernickel flour. However, my local grocery chains tend to have one brand and one type, and that's stone-ground rye. It's a coarser, grittier rye than most of the others that I buy online, but it still makes a nice bread. If your local markets have other varieties of rye flour, use what's available or what you like best.
When I have it on hand, I use whey instead of water in my bread dough, but it's completely optional. The whey I use is left over from making yogurt or cheese, so it's not something that I go out and buy. If I don't have it, I use water, and that's a perfectly acceptable substitute. The benefit to using whey is the additional nutrients, but also that the whey is a bit acidic, and yeast likes an acid environment.
Caraway (Stone-Ground) Rye
The night before you plan on baking, mix the whey and rye flour in the bowl of your stand mixer, cover the bowl with plastic wrap, and let it sit overnight.
Add the olive oil and caraway seeds and continue kneading until the dough is elastic and no longer sticky. A rye dough will never have the elasticity of an all-white loaf, but you need to develop enough gluten so the bread will hold its shape rather than spread sideways.
Form the dough into a ball, put it back into the bowl, and drizzle it with olive oil to coat.
Sprinkle cornmeal on the bottom of a cast iron dutch oven (or similar pot). Take the dough out of the bowl and knead it briefly and form it into a nice, tight, smooth ball. Put the dough into the dutch oven, cover it, and let it rest for 45 minutes.
After an hour, take the pot out of the oven and uncover. It should be nicely browned and fully cooked. If it's not as brown as you like, put it back in the oven for another five minutes, uncovered.
Move the bread to a rack to cool completely before cutting.
This recipe was also posted at Serious Eats.