Jesse James' soaking spot
I concur with the Denver suggestion, it puts more more of the west at your disposal given the weather and time constraints of your trip. One stop you might consider would be the <a href = "http://www.roadtripamerica.com/places/indsprgs.htm"> hot grottos of Indian Springs</a>, (west of Denver) that were supposedly one of the famous outlaw Jesse James favorite places to hang out.
On your way to Monument Valley, you could check out the <a href = "http://www.roadtripamerica.com/places/gunnison.htm"> Black Canyon of the Gunnison<a/>, <a href = "http://www.roadtripamerica.com/places/durango.htm">Durango<a/> and Mesa Verde National Parks.
Monument Valley is best in raking light
What a tough choice. Zion, Grand and Monument Valley are all favorites of ours. If you elect to take in Monument Valley, it is best to plan to explore the Tribal Park and the best photography opportunities are early in the morning and shortly before the park closes Most visitors spend 4-5 hours in the park itself. The road into the Tribal Park is unpaved -- doable in a rental car but VERY, VERY rough. Make darn sure you have a full tank of gas and do not drive much in excess of 6 mph.
If I was doing the trip -- I would spend the first day exploring Zion and stay over-night in Kanab or Page. If you stay in Kanab, you can go south thru Fredonia on Alt-89 past the Vermillion Cliffs (part of the Grand Canyon structure), cross the Colorado at Marble Canyon up to Page and then take 90 to US-160 and overnight at Kayenta. The next day check out some of the ruins and then spend the day exploring the Monument Valley region. Overnight at either Mexican Hat or Bluff and then head back to Las Vegas via a late afternoon stop at the South Rim.