I spent a week in the Moab, UT area after Thanksgiving and it was awesome. We spent three days on the 77-mile White Rim trail in Canyonlands National Park, bicycling, off-roading and camping. I highly recommend it. On a bicycle you're completely immersed in the views. This time of year was a bit cool overnight (temps in the mid 20s) but perfect during the day for riding (highs in the mid-50s) and the park was not busy at all (on the second day we saw three motorcycles and a car on the trail, and the third day we saw no one outside of our own group).
We also did the Elephant Hill off-road trail at the Needles district of Canyonlands, which was fun. They bill it as "the most difficult off-road trail in Utah", which I doubt, but it was challenging.
We did some hiking at Arches National Park as well, which was fine, but I was much more impressed by Canyonlands and spent another day hiking alone at Island in the Sky.
In any case, Moab is awesome for anyone into the outdoors. I already want to go back, and next time I want to take an air tour of the parks and do some kayaking on the Colorado river. I also would like to do some hiking at Needles and check out the Maze district.
But first, I'm planning a week-long camping trip to Yellowstone and Grand Tetons in early June. I'm planning to fly into Denver and drive up to the park with some friends, then fly out of Jackson Hole the following weekend.
I've never been to Wyoming before; anyone have tips/ideas? We're in the early planning stages now, mostly trying to pick where to camp.