There are some great things to do in Salt Lake City if you are into the outdoors. Heck, the Olympics were here, so there is all of that to see. I'm not a fisherman, but I know there is tons of fishing. And even as a non-Mormon, Temple Square downtown is pretty cool to see, IMO.
And if you're into nightlife, there is lots in Park City - about twenty-five minutes from SLC. Great hotels up there, too (on that, I could give you some recommendations). Everything up Big Cottonwood Canyon is pretty incredible. If you don't mind driving a few hours, southern Utah is something unlike anything else I've seen (it's hotter than hell down there right about now, though). And then there's Sundance - about an hour from SLC.
All that said, I love Yellowstone. I would go there, to be honest. Although it would probably be pretty crowded.