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The best months to tour the Anasazi ruins are from April to early June and from late August to October, but there's no bad time. On rare occasions the roads to Chaco Canyon (or other back-roads locations, like El Malpais or the De-Na-Zin Wilderness area) are closed because of snow or mud in winter (though rain can make the roads extra slick in summer as well), and cold winds can make the going rough in late fall and early spring. The best seasons for attending Pueblo Indian dances are summer and fall, when harvest celebrations take place, and from Thanksgiving through early January. Late June through July are the hottest months, but by August afternoon thunderstorms, called monsoons, begin cooling things down. The trick, as elsewhere in the Southwest, is to simply slow down and relax, Zen-like, into the dry heat.
When visiting pueblos and reservations, you are expected to follow a certain etiquette. Check the pueblos and monuments for dates of feast-day celebrations and fairs; some pueblos are open only on specific days.