The Canaries are lovely and I would recommend Tenerife for a great family holiday - there's something different to do every day if you like to get out and about. We've also been to Lanzarote which was fantastic and we adore the place and want to live there; but I wasn't "right impressed" with Gran Canaria (too 'European' for me...) definitely Tenerife though, for a great family holiday
However, for a 'first' holiday you may be better considering mainland Spain or Majorca/Ibiza/Minorca, simply because it's a much shorter flight. Personally I would recommend Majorca for a 'first' holiday - it was my first holiday when I was seven years old, and my kids had their first holiday there when they were six and nine. There's plenty to do in Majorca, waterparks, great beaches, sightseeing etc and many people go back there year after year and still manage to do something different each year.
Whatever you decide, have a great time - and don't forget to use your local travel agent to get as many brochures as possible and look into every option.