Check out this site, especially given your neck of the woods. http://www.canyoneering.net/content/

The ACA's basic courses are excellent. Of course, if you have experienced friends who are good teachers that's a less expensive option.

Venezuela is amazing for canyoneering. I know its a bit exotic, but if you can make it down there, the spots near the Orinoco River and up in the mountains near Merida are well worth the trip.

There are lots of non-technical and semi-technical slots in southern Utah to try out before increasing difficulty, and some of them are really beautiful.

Some examples:
http://www.summitpost.org/canyon/575716 ... anyon.html
http://www.summitpost.org/canyon/611143/Red-Canyon.html
http://www.summitpost.org/canyon/196905 ... anyon.html
http://www.summitpost.org/canyon/196909 ... anyon.html
http://www.summitpost.org/canyon/239060 ... nyons.html
http://www.summitpost.org/canyon/402084 ... nyons.html