I started four-wheeling in Borrego/Ocotillo almost 20 years ago... still one of my favorites. There's literally hundreds of miles of 4wd trails, for all levels of experience.
A couple things to keep in mind: Most of the trails in the Anza-Borrego Desert State Park are for street-legal vehicles only. No Rhinos or quads, but street-licensed dual-sport bikes are ok. Once you cross into the Ocotillo Wells SVRA, then it's open riding. Also, as you near populated areas, watch for posted property boundaries, and please respect them. Overnight camping is allowed, ground fires are prohibited.
Here's a couple links, but IMHO the best thing to do is go to the Visitor's Center in Borrego Springs and pick up a map. They'll have a board with conditions on the various trails as well.
DesertUSATrails.comFish Creek/Wind Caves are awesome and an easy day trip, prolly don't even have to click into 4wd.
Lots of cool little trails around
The Slot.Pinyon Mountain has some good obstacles. Full-size 4wd won't make it past The Squeeze.
Have fun!