We have the Rothko Chapel here in Houston. It's a bit like staring at the 2001 monolith. I always find it odd in there. The Menil Collection has some less austere Rothko's. Actually I gained an admiration for his work watching Simon Schama's The Power of Art.
That said I usually go to the Menil to see the Joseph Cornell boxes they have. Of course the have them behind a glass wall with lights shining on it. If you wear glasses like me it's really difficult to see them.
Saw the Rotko exhibition at the Tate Modern a couple of years ago. I was very impressed, was a little uncertain weather to go or not, but I really enjoyed it.