oops, just remembered a couple more.
At Santa Rosa, NM there is Blue Hole--a large, deep, clear sinkhole with caves.......used by divers. Several are drowned there each year. Beautiful place with several ledges for high diving from. In Santa Rosa is also "Hidden Lake" which has Native American pictographs in the rocks surrounding the lake. Place gave me the CREEPS--my Dad got creeps too. Lots of local legends about the place.

There is also the Medicine Wheel in northern Wyoming.....large circle of rocks that resemble a tipi outline.......difficult to get to now, but possible.

Also, View Zone Magazine has some weird stuff about Oklahoma......

You could always look at crop circles......