I am surprised that no one has mentioned Canyon de Chelly. I found it to be an awesome place. If you visit be sure and get a guide to take you into the canyon itself (the location of one of Ansel Adams famous images). Additionally, if you are up to a bit of an additional drive, Hovenweep (SW Colo, NE Utah) is an interesting series of ruins (not heavily visited). Tilman Crane did a study of this area that was published in the past year (not many images of that area publically presented.