I enjoyed Miles Hecker's article about the Great Gallery, which is truly an inspiring location. If you make trip, you'll want to be sure you have the right equipment along. For the Great Gallery, you'll want a long lens (approx 150-200mm) because the gallery is high on the rock wall and is best seen from a distance. Binoculars are a plus also (although there was a pair left there for general use when I visited). There are other rock art sites in the canyon that can be approached much more closely and a wide angle lens would be most useful for those, as well as for scenic views of the canyon. The rock art is a very low contrast subject (faded paint on dusty rock, often covered with desert varnish)--a polarizing filter can be helpful to cut through any reflection and bring out the color of the paint.
Pay attention to what Miles says about temperatures in the canyon and the need to carry lots of water. Horseshoe Canyon is not a good hike on a hot summer day. The canyon can be pleasant in the morning but it heats up as the day progresses and the trip back to your vehicle means a long climb out of the canyon on a trail with very little shade. Be prepared.