Since you've never been to Yellowstone before, I would recommend West Yellowstone as it is somewhat closer to most of the sights that you can see in 3-4 days. Grizzly gets good reviews as does the KOA, but it's an extra 10 miles or so to the West Entrance.
As far as what to see in the Park, plan to get in early in the morning to avoid the line of cars. I would split the park into North and South sections. North would be Mammoth, Tower Falls and Lamar Valley. The South has the obvious sights of Old Faithful, Yellowstone Lake, Upper and Lower Falls and Yellowstone Canyon, as well as various paint pots and Norris Geyser Basin.
If you have time and want to hike, check out the trails between Norris and Canyon - they are not in steep country but cover lots of opportunities for wildlife and scenery.
Have fun and enjoy your trip!