Before You Leave
... put together a basic set of travel guides and maps.

'Lonely Planet Southwest: Arizona, New Mexico, Utah (Lonely Planet Southwest)'
is a good places to start. For Colorado, you may also want to get one of the series's installments on the Rocky Mountains. As for maps, I suggest
'Rand McNally Arizona (State Maps-USA)'
- as well as that company's New Mexico, Utah and Colorado maps.
Also, if you're a member of AAA, get the current edition of the club's tour books for Arizona, New Mexico, Utah and Colorado, plus their maps of the Four Corners states.
Both the tour books and the maps are excellent resources.
Finally, fans of Tony Hillerman's Navajo mysteries may want to pack 'Tony Hillerman's Navajoland: Hideouts, Haunts, and Havens in the Joe Leaphorn and Jim Chee Mysteries'.

Must-Sees
Where to go? Everybody's got their favorite spots I guess, but in my view you haven't really been to the (South-)West at all if your trip doesn't at least include the better part of the following (with respective book recommendations and in the order of a suggested tour):

'The Best of Phoenix and Tucson: The Ten Best'
'Lonely Planet Grand Canyon National Park (Lonely Planet National Park Guides)'
'Hiking Canyonlands and Arches National Parks, 2nd (Hiking Guide Series)'
'Hiking Zion and Bryce Canyon National Parks, 2nd (Regional Hiking Series)'
'Insiders' Guide to Salt Lake City, 4th (Insiders' Guide Series)'
'Hiking the Wasatch'
'Rocky Mountain National Park: The Complete Hiking Guide'
'Frommer's Denver, Boulder & Colorado Springs (Frommer's Complete)'
'Mesa Verde National Park: Shadows of the Centuries'
'Monument Valley: Navajo Tribal Park'
'Canyon De Chelly: Its People and Rock Art'
'Chaco Canyon: Archaeologists Explore the Lives of an Ancient Society '
'Frommer's Santa Fe, Taos & Albuquerque (Frommer's Complete)'
'Guide to Bandelier National Monument'
'Hiking Carlsbad Caverns & Guadalupe Mountains National Parks, 2nd (Regional Hiking Series)'
'White Sands National Monument'

Souvenirs and Tips for the Armchair Traveler
Now, I know you'll be bringing home tons of souvenirs from your trip. Here's for more great memories, though, plus background information ... and something for the poor souls who won't make it to the Southwest in person any time soon.

NATURE:
'Audubon: Grizzly & Man / Documentary'
'The Language and Music of the Wolves (It's a Fact)'
'Cougar: The American Lion'
'River of Stone - The Powell Expedition'
'Stone Canyons of the Colorado Plateau'
'Sonoran Desert Wildflowers: A Field Guide to the Common Wildflowers of the Sonoran Desert, Including Anza-Borrego Desert State Park, Saguaro National Park, Organ Pipe National Monument, Ironwood Forest National Monument, and the Sonoran Portion of Joshua Tree National Park' (This is also a good one to take on your trip.)
'The Western Horizon'
'These Rare Lands'

HISTORY AND HERITAGE:
'A Sense of Mission: Historic Churches of the Southwest'
'The Santa Fe Trail: Its History, Legends, and Lore'
'Ghost Towns of the West'
'Four Corners: History, Land, and People of the Desert Southwest'

THE SOUTHWESTERN INDIAN NATIONS:
'Here, Now, and Always: Voices of the First Peoples of the Southwest'
(out of an exhibition of the Museum of Indian Arts and Culture in Santa Fe, NM)
'Celebration of Being: Photographs of the Hopi and Navajo'
'Southwestern Indians: Arts & Crafts - Tribes - Ceremonials (Native American (Paperback))'
'The Southwest Indian Foundation' - the website of the Southwest Indian Foundation, a charitable organization founded to assist Indians in need and an excellent resource for authentic Native American arts, crafts and other products.

LITERATURE:
Three must-read authors among the region's many literary treasures are:

WALLACE STEGNER
Pulitzer Prize winning author, writing teacher and one of the 20th century's greatest American authors. For a sample of some of his best, consider
'Angle of Repose (Contemporary American Fiction)'
'Collected Stories of Wallace Stegner (Contemporary American Fiction)'
'Beyond the Hundredth Meridian: John Wesley Powell and the Second Opening of the West'

JOHN NICHOLS
Still the greatest authority on life in rural New Mexico, both in fact and fiction. See
'The Milagro Beanfield War: A Novel' (movie 'The Milagro Beanfield War' courtesy of Robert Redford) and
'A Fragile Beauty: John Nichols' Milagro Country : Text and Photographs from His Life nd Work'.

TONY HILLERMAN
Author of the bestselling Navajo police procedurals featuring "legendary" Lieutenant Joe Leaphorn and Sergeant Jim Chee, e.g.
'Tony Hillerman: The Leaphorn & Chee Novels: Skinwalkers, A Thief of Time, Coyote Waits'
- now likewise brought to the small screen under the aegis of Robert Redford (producer) and his son James (screenwriter), beginning with Leaphorn and Chee's first joint investigation:
'Skinwalkers'.

MOVIES:
'Jeremiah Johnson'
Robert Redford and Sydney Pollack's movie on the mountaineer who went to war against the Crow nation after they killed his wife - hard to beat for stunning pictures of Utah's magnificent mountain ranges.
'Butch Cassidy and the Sundance Kid (Special Edition)'
The first of two movies starring Robert Redford and Paul Newman, *the*ultimate buddy movie (and the film that made Redford a star and originated his 'Sundance Institute' with associated film festival, TV channel and 'Sundance Catalog Company') likewise prominently features the stunning Southwestern scenery, as does Redford's fascinating book on his off-screen exploration of 'The Outlaw Trail: A Journey Through Time'.
'Thelma & Louise (Special Edition)'
Speaking of buddy movies, the second part of this 1991 female outlaw tale is set in the region as well, breathtaking panorama shots included ... and an ending modeled after that of "Butch and Sundance."
'The Searchers'
But of course, nobody used Monument Valley to greater effect than John Ford, and nowhere more spectacularly so than in the ultimate John Wayne movie on racism, hatred and redemption.

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An indelible part of the Southwestern experience is also the region's cuisine. If you're interested in cookbook suggestions, you'll find plenty of those in my "Culinary Trip Across the United States" guide (copy and paste this link into your browser):
http://www.halfvalue.com/exec/obidos/tg/guides/guide-display/-/23AM9TR05O6G2/
- Savor and enjoy!