One of the first places we explored in Arizona was Vermilion Cliffs National Monument. Located in Coconino County, Arizona and just south of the Utah state line, Vermilion Cliffs National Monument is 293,689 acres of protected land. You might even know the place without realizing it! Vermilion is home to The Wave, an awe-inspiring, red-and-gold swirling sandstone rock formation that is one of the most highly sought hiking permits in the Southwest.