I have tried to substitute healthier things before but it hasn't always worked properly, mainly because I am never quite sure about quantities. Other bakers may be more intuitive than me about this but I've had too many "healthy failures" in the past to take the chance! I now tend to subscribe more towards the "moderation" side of things - if I bake, I'll make something outrageously unhealthy but only have a very small amount, freeze some to save us all from ourselves, and take half to work to fatten up delight my colleagues. I guess I'd rather have a small sinful slice of cake than 3 slices of something that is a bit more virtuous.
That being said, I do sometimes have to cook things for relatives who have various healthy dietary requirements, and after bitter experience of leaden cakes and cookies as hard as rocks, I now know that I have to start with a recipe that uses healthier ingredients if I want to make something that's a bit healthier.
The website 101 Cookbooks is useful for cakes and biscuits that are made with ingredients like whole-wheat flours, agave nectar or applesauce instead of sugar, etc. The writer is an author of healthy cookery books and you can trust her recipes will work because she's tested them. The many different cakes made using yogurt on Smitten Kitchen are healthier and always come out perfectly for me.
Another thing you can do is make cakes which use vegetables to keep moisture in and lets you cut down on the fats somewhat - Nigel Slater does a gorgeous chocolate beetroot cake in the Tender cookbook, and you'd never know there was any beetroot in there at all.