If you're not taking the Great Circle Route (the northern route) -- and there are a lot of folks that don't -- the usual path is to jump up/down/across to Bermuda, then head to the Azores. From there to Gibralter.
You would not head for the Canaries. They are too far south. You want to be just above that contrary trade wind belt. You stop in the Canaries on the way back.
Here, take a look at the routes that the Atlantic Rally for Cruisers (ARC) uses. On this chart, the solid lines are the route across to Europe from N.A., and the dotted lines are the route back with the favorable trade winds. The hardest part is sailing around that big logo thingy in the middle of the Atlantic.
