I made this straight out of Peter Reinhart's Crust and Crumb, but I have a few notes I want to make.
After trying coffee and cocoa powder to get a dark rye bread, and even attempting to make my own caramel color, I finally gave up and just ordered the little jar of powdered caramel color from King Arthur. But along the experimental way, I decided I really like the flavor and aroma that the cocoa powder delivers, even if it doesn't add the color I was looking for. So this time I used a scant tablespoon of cocoa powder as well as a scant tablespoon of powdered caramel color.
(My real purpose in buying the powdered stuff is to try to make marble rye bread, just because I think it's cool. This time I used it just for kicks, to see how dark it made the bread! I was very pleased.)
This recipe calls for making a rye starter from ripe wild-yeast starter one day, which I did, and then a secondary starter the day after, before finally making the finished dough on the third day. I baked the bread that same day I made the final dough, rather than shaping the loaves and then retarding them in the fridge overnight and baking them on the 4th day as Reinhart suggests. I have not yet found a good method for getting the breads into the fridge and keeping them well-covered so the edges don't dry out. He suggests a giant food-safe bag, but I haven't found a source for those.