Lydia is the only follower, aside from someone you marry (all mercenaries, housecarls, Companions and about half of the other potential followers), whom you can "relocate" to Whiterun. That is, she's your housecarl in Whiterun, so that's kind of where she's supposed to be.
However, if you want to keep several followers in one place, one option is to recruit some followers to the Blades after you've progressed far enough in the main quest. Most followers can become Blades. Once they've been inducted, they'll all relocate to Sky Haven Temple. Also, if you complete the Companions quest line, you will have seven more potential followers in Jorrvaskr, which is just down the road from Breezehome in Whiterun.
Note that if you tell a follower to wait in Whiterun, a) you won't be able to recruit another follower, and b) after a few in-game days that follower will return to his/her original location.