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I've been to all of those, and they're all good, but which you choose should depend more on your interests than mine.
Rocky Mtn Nat'l Park - When I went the first time, I simply drove through the high pass road to get to the other side. The second time, I did some day-hiking (we were going to climb Long's Peak, but a nasty storm rolled in, so it turned into a day hike), and camped in one of the campgrounds. Saw lots, and lots of elk. I don't have any plans to return here.
Zion - Both times I went were in Jan/Feb, and I climbed Angel's Landing and did some day hikes in the canyon. We camped on a dirt road a few miles outside of the park by the Virgin River. Next time, I'd like to do a pan-park thru-hike.
Grand Canyon - I've been here many times (used to live in Flagstaff). Hiking into and out of the canyon can be exhausting in the summer, and the season really has a lot to do with how much pain you will experience. My best trip here was not to the Park, but to the Indian Reservation, hiking to and camping at Havasu Falls, eating (I think they're called?) Indian tacos/bread? in the village of Supai. Next time I go, I'd like to try flyfishing Bright Angel Creek, or head over to Lee's Ferry and hire a flyfishing guide.
Grand Teton - I've been here three times, attempted the Grand twice, only summited once due to weather the first time, did some other hikes in the range, swam in a warm spring, photographed some bison, and did some fly-fishing on the Snake River. I'd say that this is my favorite place due to scenery, pleasantness of weather, and variety of activities to do.
Yellowstone - I only spent half a day here, as a sort of side-trip from the Tetons. Saw Old Faithful, colorful hot springs, and then turned around to make it back to our campsite before dark. I have the least experience here, but was the least impressed, as far as scenery goes. I suspect it is much better enjoyed from the backcountry, or perhaps a boat, fly-fishing for monster trout.
