The healthiest cereal I have found in the grocery store is Grape Nuts. This is pretty much the only cereal I have found that does not have sugar added. Other cereals may have reduced sugar or small amounts, but Grape Nuts has no added sugar.
Grape Nuts is also high in fiber and protein so it keeps you full without having a lot of fat or unneccessary calories. There may be other healthy cereals that are harder to find, but Grape Nuts is widely available.