The important thing to remember about pumpernickel is that it began as a bread for the very poor. It was the cheapest bread, made of the coarsest possible flour (rye meal, rye chops), filled with left-over stale bread that had been re-soaked (free & saves on fresh water, as the bread usually doesn't require any added water beyond what the soaked bread holds after squeezing - it can even be soaked in leftover coffee), usually without sweetners of any kind (too expensive), made with sourdough (yeast being also expensive), and "steamed" in its own liquid in last heat of a cooling oven after everything else useful had been baked.
Looked at from a waste-nothing peasant perspective, pumpernickel is all good. That it tastes great, smells incredible, and marries perfectly with ham and blue cheese is a plus. Of course as time goes on, even Westphalian peasants become more affluent (go civilization!) and they can afford to add sweeteners (honey, molasses), some wheat flour, and even flavoring spices (caraway, coriander, cocoa, coffee). Over time they no longer treasure the pumpernickel for its cheapness but for its wonderful compatibility wth pork and strong farm cheeses. So how do we bake this today?
Findng high-quality rye meal is very difficult nowadays - even King Arthur has pretty much stopped selling it. And this is a pity, esp. as recent science (e.g. http://www.sciencedaily.com/releases/2010/05/100505091919.htm) has shown that rye has unique properties that promote heart health, insulin regulation, and weight loss - just in case you always wondered how Germans and Scandinavians can eat so many high-fat pork products and yet remain relatively slender and healthy! Because they used to eat mainly whole grain rye breads of various types.
What's interesting is that rye has a lot of natural fructose (fruit sugar) of a type called fructans. Wheat has about 4% of these, but rye has almost double that, about 7%. It's these sugars that allow the distinctive crust and color of pumpernickel to emerge during the long steaming. Properly slow-steamed pumpernickel wlll turn very dark on its own, as the crust fructans caramelize (fructose caramelizes at 230F), and the crumb undergoes intense Maillard reactions.
To ensure this, the baking process should be anywhere from 16-24 hours. And because high-percentage rye breads will tend to gum up from the pentosans, a long maturation period of 24-36 hours before cutting will allow the crumb to equalize and develop.