i'd ditto Carlsbad Caverns, although when we went the bats were not 'in season' so we didn't see them, so make sure you go at the right time - the sight of a huge number of bats flying out the cave is said to be awesome. the caverns themselves are awesome.
grand canyon of course.
i like joshua tree too, it's pretty small and not so much awesome but good fun to hike around a bit if you like that kind of thing.
slightly OT. the ballon festival at albuquerque was incredible, queuing up at 4.30am on the highway in order to get in was an interesting experience too! (you need to get there before what they call 'dawn patrol'