Buy term, invest the difference. Eventually, you should be self-insured.
EDIT: I feel I should explain my position a bit more fully.
I have a $400,000 25 year level term policy. If I die in the next 25 years, my family gets $400k. My monthly cost for that is $50.
For a Whole Life policy with the same payout, my cost would be $275. (I know, because I checked with my broker). I would be paying that until I turned 100, and at that point, I could cash it out for $400k. (If I live that long, which is unlikely).
So, for an apples to apples comparison, lets just stick to dealing with the next 25 years, ok?
The difference between the monthly cost is $225. That difference, over the course of 25 years, is valued at a total of $67,500. So, you save that much just for having the different policy. But lets say you invested that in a mutual fund and averaged 10% (pretty conservative, actually) compunded annually.
After 25 years, you would have just over $300k in the fund. ($301,025.33, to be exact)
At the age of 58, just about the time I retire (Since we are using me as the example here) I would have a nice little retirement nest egg started. If I continued to invest for 4 more years until I retired, that number would jump to over $460k. Not too shabby.
If I wanted to cash out my whole life policy at 25 years (Which you can do), I would get $97,680. After having paid in a total of $82,500. So, not too much growth in those 25 years.
So, for the first 25 years, the protection is the same. After that, there is about a 2 year window wherein if you were to shuffle off the old mortal coil, your family would be missing out on a little bit of the money that the whole life policy would have paid out (At ages 59 and 60, the investment would be worth $335k and $373k, respectively, as opposed to the $400k provided by the WL policy). But after that, you have actually provided MORE protection for your family, and that could even continue to grow if you chose to continue your investment at $225 monthly.
I hope this helps to illustrate my point. There are arguments for both sides, but in my mind, it is as simple as what I have just laid out for you.