Zion is gorgeous. Some of the best hikes in America. I've done a bit of rock climbing there, more up in Joe's Valley bouldering. Lived in a tent at Joe's Valley for a month one Autumn. Oh. Both Arches National Park and Canyonlands are pretty amazing, and you can throw in Mountain Biking in Moab in that part of Utah. Did some backcountry snowboarding out in the Wasatch range too when I was 19, and loved that. Rode Solitude and Park City as well.
Utah is a little strange in some aspects with the Mormon stuff, but one of the most beautiful states for sure.