If you have that experience in Utah, please let us know in the regional group "Rocky Mountain Oysters". It's my impression that the dive shops I've been to are pretty dedicated and high quality, for being in such a landlocked state.
Talking to other locals is sure to give you the most accurate and honest information about which retail store to choose in your own location.
Getting your training in advance in Utah will save you time in Costa Rica. Then when you get to Costa Rica, you can go diving right away. And you can bring your gear with you, whatever you have already purchased (fins, booties, mask, snorkel, weight belt without weights, dive computer, etc.)
In Costa Rica you would probably want to buy your first 3mm wetsuit. For mountain lake diving in Utah, you would probably need to rent a 7mm wetsuit, probably a farmer-john design. These are completely different.
Mountain lake diving can be nice; I have done it and enjoyed it immensely. Warm ocean diving is quite different however, with longer dive times since you do not need to worry about higher altitude.
A dive computer with high altitude settings (as well as nitrox) would make the conversion much easier for you. I recommend the SUUNTOs. They have both a high altitude setting (8000 ft) as well as an intermediate altitude (4000 ft) like Utah, in addition to sea level.
Regarding NAUI, SSI, PADI, etc. it really all depends on the instructor. Ask around, in your neighborhood. In general, SDI is going to be your best bet, since they do not bother with ancient dive tables, focusing rather on modern dive computers. But ask around.
In some locations a DAN insurance card is required as well. But most only check your certification.