Initially you want to focus on raiding dungeons that benefit and better equip the majority of players. Once you have built up your guild's equipment and gain experience working as a group, you can work to take on more challenging dungeons.
Blackrock Spire (Upper) (UBRS),
Zul'Gurub (ZG), and
The Ruins of Ahn'Qiraj (AQ20) are all good places to begin. Upper Blackrock Spire allows 10 players to be in the instance at one point in time, while Zul'Gurub and Ahn'Qiraj allow for 20 players. From there many guilds head to
Molten Core or
Onyxia. Both of these encounters allow for 40 players to be in the instance at one time. Once those dungeons have been mastered, players often challenge themselves with
Blackwing Lair (BWL), and
The Temple of Ahn'Qiraj (AQ40). Last but certainly not least is
Naxxramas, which currently, is the most challenging raid dungeon in the game. Blackwing Lair, Temple of Ahn'Qiraj, and Naxxramas also all allow for 40 players to be in the instance at one time. If you're looking for a non instanced experience there are
multiple outdoor raid encounters located in many points throughout Azeroth. These can prove to be fun, challenging, and random. Keep in mind, since the outdoor raid bosses are not instanced, you may end up competing with other players for the victory. You can follow the link below for more information on the outdoor raid encounters.
http://www.worldofwarcraft.com/info/basics/raidarea.html#outdoor