The area where Colorado, Arizona, New Mexico and Utah meet has several great sites.
Monument Valley It’s worth spending a night at the View Hotel which looks out on the viewpoint. Guided tours by the local Navajos add some color and provide access to areas that are off limits to independent travelers. The ultimate view is from Hunt’s Mesa which can be visited as a day trip or better yet, overnight. A stop to take a photo from the middle of the road at Mile Marker 13 on Highway 163 north of the monument provides the classic view.
The guide I used: http://monumentvalley.com
Canyon de Chelly One of the best Native American sites in the Southwest. The hike to the White House ruins is worthwhile or you can take a guided tour of the valley floor. There are several overlooks along the rim drive including the best one, Spider Rock, at the end of the road.
Mesa Verde The premier Native American site, located in SW Colorado. Worth a full day to explore.
Chaco Canyon A bit remote, but worth visiting if you like Native American ruins. The classic photo here is the early morning view of the entrances of the main complex.
Bisti Badlands/Ah Shi Sle Pah These two remote badlands have some of the most unusual geography in the entire Southwest. One of the up and coming places for landscape photographers.
Moki Dugway This zigzagging road is carved into the side of the mountain that ascends up above Monument Valley on the way north toward Capitol Reef National Park.
Two other good Native American sights in the area are:
House on Fire: http://www.naturalbornhikers.com/trails/houseonfire.html
Fallen Roof Ruin: http://www.naturalbornhikers.com/trails/fallenroofruin.html