If you had a bagel (plain with no spread) and a cream filled iced donut sitting next to each other, I think most people would think choosing the bagel would be the obvious healthy choice.

(Honestly, I think that's why people have success with low-carb diets. So much of their calorie intake is from carbs from simple basics like breads and pasta.)

They also have (on average) ~12g protein and 1.5g fat. At a little over 20% of the carbs you need per day, it's not going to ruin your diet, but could have an unhealthy effect on blood sugar levels in some people [http://www.phlaunt.com/lowcarb/19060174.php]

Are pumper nickel bagels much better? That's what I've been telling myself ...

That really depends on what you mean by "pumpernickel". If you mean black rye flour bread, it's not significantly different from any other grain-flour bread. If you mean rye meal bread ("real" pumpernickel), it would have significantly higher fat and caloric content (it's much denser than a flour bread, containing very little in the way of gas pockets, and uses more of the seed).

In relation to a custard filled donut, they probably are pretty healthy.

They definitely fall on the 'health food' end of the breakfast breads/pastries/etc.

True, relative to those things. I guess I was setting the "healthy" bar at things like eggs, oatmeal, whole wheat toast, lower-fat deli meats and completely forgetting about the fact that people eat donuts and other pastries for breakfast.