OK- So we went to Arizona, too. This is Canyon De Chelly in Arizona. We took a tour with a Navajo guide and got to see Anazasi ruins and cave paintings. It was truly breath taking!
I can heartily recommend De Chelly Tours if you go. The owner, Des Yazzie, grew up in the canyon and explored the ruins as a kid.
We also hiked up the Sandia Monutains to a cave where a 10,000 year old burial was found. We had to climb a spiral staircase to get to the cave that just kind of hung over the cliff. This is my sister on the stairs and my nephew Tanner and me in the cave.
We were well sunburned, totally broke, but we had such a great time!