What would be a good argumentative thesis statement for "Where Are You Going, Where Have You Been?"

That depends what you want to write your essay on. Here are some ideas:

• 
  Joyce Carol Oates' story "Where Are You Going, Where Have You Been?" explores the theme of loss of innocence through character archetypes, with Connie as the young innocent and Arnold Friend as the Devil.
  In this essay you could talk about the history of these character archetypes (look into it; it's really interesting!) and how this story builds on that history to create a modern parable about sexual maturity and loss of innocence.


• 
  In "Where Are You Going, Where Have You Been?" by Joyce Carol Oates, Connie navigates the world by judging appearances: her own, her mother's and sister's, and most importantly, Arnold Friend's. This allows Arnold to fool her and, ultimately, her superficial evaluations lead to her fate.
  In this essay, you could talk about all the ways that Connie judges herself and others by their looks (think of all the times she talks about how she looks and criticizes her mother and sister). Since she does the same with Arnold, thinking he is her age and not nearly as dangerous as he is, she engages with and talks to him at first, allowing him to charm/frighten her away from her home. 


• 
  In "Where Are You Going, Where Have You Been?" Joyce Carol Oates portrays how the typical "all-American" family can isolate a young girl like Connie, making her more susceptible to someone like Arnold Friend. From her absent father to her nit-picking mother to her dowdy sister, Connie has no one to rely on or connect to in her family and so turns outward, to her doom.
  In this essay, you could discuss Connie's relationships with each of her family members and how each relationship is lacking and unfulfilling for her, making her easier prey for a predator like Arnold.

Don't forget that your thesis should be arguable (that is, it should make a point that is not obvious to the reader, a point on which someone might disagree with you). You should also avoid any "I" or "me" statements; state everything as if it were fact (like I did above). Finally, you should give some indication of what you'll be writing about in greater detail (for example, in the first thesis, I suggest that I will have a paragraph each to explore Connie and Arnold as archetypes, and probably a paragraph to explain how this makes the story a modern parable).