Cheesebox is a nice technical canyon in southwest Utah. You definitively need to carry a rope, and be prepared to set up anchors at some sections (you may use some old ones if you trust those). So, carry also an extra webbing, dry bags, harness and belay device. A wet suit is a must - the water was freezing!!! but we did explore this canyon in late November. I read reports about not using wet suit in the mid summer when temperatures were above 100F.
Cheesebox canyon is a tributary of White Canyon, and is located on Highway 95 between Natural Bridges and Hite Marina on Lake Powel. You will need two vehicles, one at the start and the other at the end.
To get to the start, drive on Highway 95 to milepost 66, and turn on a dirt road at Soldier Crossing. The road is listed as Found Mesa Road on on Utah Atlas. Drive 10.7 miles along this dirt road.
Great description of this canyon can be found in Canyon Hiking Guide to the Colorado Plateau by Michael Kelsey.
External LinksTodd's Desert Hiking Guide
The American Southwest Slot Canyons
Tom's Utah Canyonneering Guide