Of the places I haven't been, Hawaii, specifically to check out all of the non-beach stuff. I'm a landlubber and the sun is not my friend, but waterfalls, volcanoes, observatories and scenic drives are among my favorite things.
Florida will be among my next concert destinations. I'm a NASA history buff and want to spend a day or two checking out KSC. I just have to coordinate it around a rocket launch (and with God's help subsequent explosion). There's plenty of other things I'd like to do there, as well. Lots of interesting driving.
In the return visit category I'd like to spend a couple of weeks in the Italy/Switzerland border region. The train ride through the Burnina Pass is simply magnificent. And outside of smog days Lake Como is fairly pleasant, to boot. I'd also like to spend a week or two driving a rented BMW around Germany. I didn't get to explore the Black Forest when I was there, and by car seems the optimal way to do it.
Cuba used to be on the list, but they've made it far less fun by making it an actual tourist destination.