The Moon, Milkyway, Mars, Jupiter, where the alien lives.
I would want to stop at the Moon and have a picnic there.
Don't forget the wine. lol And we'll do the Moon Walk. lol
Gallifrey ... before the Time War.
I would try to steal a working TARDIS.
I'm thinking that if aliens gave me a guided tour, the things we would find interesting would be horribly boring to them, and they'd probably be able to show us amazing things we can't even imagine. "Oh, Jupiter? meh, that's just a ball of gas, we send our garbage there to be incinerated" lol