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.

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