Arizona is supposed to be a good first one. My first was also CDA and it's a great course, although a pretty tough bike.
My questions to myself when picking a course: Do I want a lake or ocean swim (or not care)? Hilly bike or flat (e.g. Florida)? Time of year - early season, summer, or fall? This is important for training season(s) as well as race day weather. CDA was nice and cool in '09 until the run, and then was cold and wet. Louisville and Madison can be very hot/humid.