I love the Sea of Cortez. It's where I do my "backyard diving." I have dived in Cabo Pulmo, Cabo San Lucas, San Carlos and Himalaya Bay. Everything totally depends on what you are interested in and what you are looking for.
Baja is adventure diving. If you prefer colorful coral reefs and white sandy beaches, Baja is probably not for you. Pampering and easy conditions elsewhere.
In a nutshell:
Sea of Cortez is no coral sea. BUT it's one of the biodiversity hotspots on the planet. Few other oceans rival it in terms of endemic species (species that only occur in that particular ocean).
The underwater topography of Cabo San Lucas is spectacular. One of the few, if not the only place in the world to see sandfalls (google it). Some people might find them very lame, I find them awesome.
Dove Gordo Banks in winter, didn't see squat. Most expensive deep dive I've ever done to see fish and an - admittedly very large - sting ray. I hear that Gordo Banks can be fantastic, if you see sharks, but I would never dive it again unless I knew 100% sure they're there. Don't rely on the dive shops - they will sell you the trip no matter what.
The spectacular Cabo San Lucas underwater canyon starts right at the beach. It eventually goes all the way to the deep sea and plummets thousands of feet relatively close to shore. Again, I love this kind of stuff, others couldn't care less.
Cabo Pulmo: Fantastic diversity and density of marine life, because it's a marine protection area. Unfortunately, the Sea of Cortez is heavily overfished, so MPA's are the way to go. Cabo San Lucas is also an MPA.
Personally, I find Cabo San Lucas one big atrocity. The only reason for me to go is the diving. Again, personal preference is key. The place is noisy, party non-stop and expensive compared to the rest of Baja. Totally americanized, almost no Mexican atmosphere left. One big row of strip malls and tourist traps. San Jose del Cabo, on the other hand, only 35 km east of Cabo San Lucas, is a nice old Mexican town with lots of colonial flair and great bars and restaurants, minus the obnoxiousness of Cabo.
which is why I fled to Cabo Pulmo as soon as I got off the boat in Cabo San Lucas. Cabo Pulmo has no electricity and no cell phone signal. A couple of restaurants, three dive shops. That's it. For accommodations, I always pitch a tent right on the dunes at the beach. Price: zero dollars.
Cabo Pulmo is famous because some say it's the only coral reef in Western North America. That is not quite true, as there are two or three more, e.g. one in Panama, but for all practical purposes, it's cool. Diving there is fairly shallow, but again, the density and variety of marine life is simply stunning. Where else do you see a school of 60 parrot fish, each two to three feet long, grazing the rocks?
South of Cabo Pulmo, there is a bay with an underwater canyon similar the one in Cabo San Lucas, except hardly nobody knows about it. I googled it, nothing. Shops go there very rarely. I took a sea kayak to that bay and searched for the canyon. Found it and had a spectacular dive. It's deep, though, and no support, so you have to know what you're doing. PM me if you would like to know more.
If you're there in the right season, you can dive with hammerheads in El Bajo Seamount out of La Paz. Haven't done that one though, because I was never there in the right season. I snorkeled with whale sharks in La Paz, though, and that was a memory that will always stay with me. Highly recommended. (They don't let you scuba with them for conservation reasons, which is great).
If you are interested in more details, feel free to send me a PM.