Ive been to Monatana, Wyoming, Idaho, Utah.
Ive been in Summer and winter..great place to go.
If you go in winter you could do the Yellowstone National Park on a Snowmobile..that is awesome..
I've dona couple of winter resorts as well. Jackson Hole in Wyoming is just the best.
Another good place is Canada. In winter, I've gone skiing a couple of times, and included, dog sledding, snowmobiling, snow shoing, ice canyon walking, ice fishing.. Great holiday.. Would defo reccomend
In summer, lots of other sports, like quad trekking , horse riding, white water rafting, wild life watching...