The past for sure. In addition to traveling to visit the Romans, Greeks, and the Carthagians, I would love to visit Hollywood in the 1930s–1950s. The "golden era" actors and actresses really were mysterious and revealed very little to the public. They portrayed a character 24/7, and it would be interesting to see what they did behind the curtains. Many of these celebrities such as James Dean, Katharine Hepburn, Cary Grant, Marlon Brando, among others were alledgedly gay, bisexual, or lesbian (according to biographies I've read) in a time when being such was extremely repugnant and unacceptable.
Definitely the past. I'd love to see things that have happened in the past with my own eyes. I was only 4 in 2000 so I don't remember the new Millennium, I would love to see the reaction in times square during that.
Quite interested in seeing the future. I'm sure I will see things which I wouldn't think possible in this day and age. The past is a good option because we know what we are going to see, while the future is a complete unknown.
Strangely enough, I am reading Stephen King's 11/22/63 right now. It's about a man who travels back in time and tries to stop the Kennedy assassination. Interesting read for anyone who is into time travel stories.