I lived in the valley for 13 years before moving to Indy in 05'. My favorite spot by far was up on the rim around Payson.. Incredible views, great camping awesome weather and a pretty nice drive from the city. I really do miss it..
Chiricahua National Monument
Tonto Bridge State Park (if it's still open)
Arizona-Sonora Desert Museum in Tucson
Cameron Trading Post (best fry bread ever)
Mogollon Rim Area
Canyon Creek
South Mountain Park
White Tanks Park
Bisbee, AZ
My personal favorite place is Scottsdale. Clean city with lots of things to see and do.
great dance clubs and if you golf its a must. Also has great places to eat. If money is your bag you will see first hand how the rich live. Also, Tucson has alot to offer but it needs to clean up its act and make downtown worth seeing.. I do like forth street though.. Its an unusal place with pretty good places to eat and its walkable.