White Sands National Monument is located in South Central New Mexico.
While you've probably heard of the adjacent Missile Range, White Sands is also a National Park, and is quite beautiful. It covers 275 square miles and is the world's largest gypsum dune field.
It's pretty easy to spend the day playing here- taking a walk along the dunes, digging your toes in, and a lot of the dunes are big enough for sledding! My favorite time to visit is during a full moon, and of course the stars are spectacular out there as well.
It's definitely out of the way, but well worth it!