As I mentioned in Carbohydrates: Dogs' Doodads or Spawn of Satan?, some breakfast cereals turn into blood glucose faster than table sugar (half glucose bonded with half fructose) even though they're "Wholegrain" cereals.
A whole (i.e. intact) grain consists of a protective outer shell (a.k.a. bran) and innards consisting of starchy/proteiny endosperm and nutritious germ. See Cereal germ.
To turn a grain into a breakfast cereal, it's milled into dust, mixed with water to form a paste and the paste is extruded through holes into whatever shape the manufacturer desires. Technically, everything that was in the whole grain is in the finished product. However, the form and function have completely changed. Here are a couple of analogies.
1) I want to sell my car. I take it to a scrap-yard and have it shredded into tiny pieces. All of the tiny pieces are put in a skip, which is delivered to my driveway. I place a sign on the skip stating "Whole Mazda MX-5 for sale. Enquire within. £5,000 O.N.O.". What would you offer for my "Whole Car"?
2) An insane person gives me £5,000 (in £50 notes) for my "Whole Car". As I'm on a roll, I take the notes and put them through a cross-cut shredder which turns them into thousands of 2mm x 2mm pieces. I empty the pieces into an attaché case. Who will accept my attaché case full of "Whole £50 notes" as payment for their second-hand car? Any more insane people out there?
Roller-milling grains into fine dust does four things.
1) It exposes the starchy endosperm.
2) It greatly increases the surface area to volume ratio of the grain, resulting in faster digestion and absorption. Surface area to volume ratio is inversely proportional to particle size. If 3mm grains are roller-milled into 0.1mm particles, the surface area to volume ratio is 30 times bigger. See Particle size, satiety and the glycaemic response. Therefore, "wholegrain" breads made from roller-milled flours are as bad as white breads, in terms of glucose and insulin response. Choose wholemeal breads made from stone-ground flours, as the particle size is bigger.
3) It makes the finished product much more likely to stick to your teeth, resulting in the rapid formation of plaque that damages your teeth and gums.
4) It makes the finished product more energy-dense.
Rolled grains are grains that have been steamed (to cook and make them soft), then put through what's effectively a mangle. They're still intact, if somewhat flat. Puffed grains are grains that have been heated to make the water within boil. As steam takes up a much larger volume than water, the grains are inflated to a much larger size. They're still intact, if somewhat funky-looking!
Don't be conned by breakfast cereal labels. If they look like "O"s or Brillo pads or brake pads, they're not intact grains.
Oats are O.K. even when turned into oatmeal, probably due to their high beta-glucan content, which forms a wallpaper paste-like goo when wet. See Particle size of wheat, maize, and oat test meals: effects on plasma glucose and insulin responses and on the rate of starch digestion in vitro.
See also Anthony Colpo's The Wholegrain Scam.