Probably the healthiest cereal around (not to mention the best value) is your basic old-fashioned oatmeal.

(I stay away from the oatmeal packets as they generally have lots of sodium, sugar, etc.) If you nuke it, oatmeal is easy to make - I just mix the oats and water in my 'oatmeal bowl' and usually add some frozen blueberries, Splenda, and cinnamon or pumpkin pie spice, depending on what I want that day!
There are so many cereals out there...my husband is a bona fide cold cereal addict - so I try and select ones that he will enjoy and that are as healthy as possible. His favorites right now are Puffins from Barbara's Bakery - especially the Peanut Butter flavor

which he says tastes like Capn Crunch PB cereal. A 3/4 cup serving has 110 calories and only 6 grams of sugar. Another favorite of his is Quaker Corn Bran. The only Kashi cereal he likes is Go Lean Crunch, which I don't buy often because he tends to eat almost half a box at one sitting.

(it's one of those products that is healthy, but is REALLY easy to go overboard on) And of course the old standbys, which are Cheerios, Raisin Bran and Wheaties. I do buy him the Special K with Red Berries, but not very often (I like to get him a 'fun healthy' cereal and a 'healthy healthy cereal' when I shop).
I would advise to definitely read labels when you're in the cereal aisle. There are a lot of cereals out there now that are advertised as healthy (I've noticed all of the General Mills products have "whole grain" banners on them!) but really are not all that healthy, especially if you're trying to cut calories. First one that comes to mind is Grape-Nuts, which is probably the highest calorie cereal out there - check out the nutritional info on the side and you'll see that a 'serving' of Grape-nuts is very, very small indeed! Another one is "Cracklin' Bran" - of course many people would see that it is a "bran" cereal and figure, oh well, then it's healthy, but it's got quite a few calories and sugar in there.
Summary - if you're going to use cold ready-to-eat cereals, educate yourself by reading the nutritional information on the side of the box.