The most scenic locations are within Monument Valley Navajo Tribal Park, a Navajo Nation equivalent to a national park. Monument Valley is part of the Grand Circle, which includes the Grand Canyon, Mesa Verde, Bryce Canyon National Park, Zion Canyon National Park, Capitol Reef, Natural Bridges, Hovenweep, Arches National Monument, and many other attractions. 

The best way to start your visit to Monument Valley would be to take a tour.  Guided tours of the park and Mystery Valley (a part of Monument Valley where visitors cannot go without a guide) are available for a fee.