Note: Whole-Wheat is the same thing as Whole-Grain. It's just simply telling you which grain you are getting whole.
Whole grain is better for you because it has...well the entire grain. And because of that has essential fatty acids and b-vitamins, starch (carbohydrate), and fiber. Multi-grain isn't bad for you...but can be composed of several refined grains...so you lose some of the nutrients you get from whole-grain, but it may taste a little better, or at least gives you a variety of tastes on account of several grains mixed together.