It depends on what you're into. Some people like the physical sport aspect of canyoneering and others just want to see what's in between all that. For me, as someone who likes to hike primarily and with ropes secondarily, I like canyons with good anchors, straight-forward rappels and lots of awesome scenery in between. Some people get bummed if there aren't any huge rappels or unique technical difficulties, I'd be stoked if there weren't any. It's the scenery between the first and last raps that I'm there for.
With that said, Zion would be at the top of my list. Mystery, Pine Creek, Subway. Any one of those three would be worth the trip. And there are plenty more where they came from. The first two still have big, dramatic rappels sure to keep any adrenaline junky happy, and all three have scenery that is second to none. If you enter the Subway via Russell, it has big raps too.
Outside of Zion it's more like the wild, wild west. No bolts, mostly all natural anchors and plenty of physical work to get through. North Wash is kind of like canyoneering mecca and is a great place to slither around some slots and destroy a few outfits over a weekend. Those canyons are gorgeous too, but it's much more physically demanding than most canyoneering in Zion. Lots of fun, but a very different experience. I've done a few tech canyons between North Wash, The Roost, and The Swell and they were all tons of fun, but I'd still choose Zion.
Arizona has some really cool looking canyons, but I've never done them. The Jug of Salome Creek looks awesome. So do Illusions and Insomnia.
Zion...
http://backcountrypost.com/threads/fall-in-mystery-canyon.1562/
http://backcountrypost.com/threads/russell-gulch-the-subway.1600/
I just did a bunch of crappy GoPro footage in Pine Creek, so I have no TR.
