You'll find the airspace around Phoenix, and Tucson quite busy. If you are lost, tell ATC right away!
The mountains around there are significant. If you're going out toward them, tell someone where to look for you, if you have to go down. There are not so many suitable forced landing areas in there.
If you fly into Tucson, pay attention to the displaced thresholds, they're displayed because of arrester cables for the jet fighters, and you don't want to get hung up in one! Tucson is home to the Pima air museum, very well worth a break in your flying to visit. If you're going south of there (or away from cities in general), it's very barren country, go prepared. Well, south, you could blunder into Mexico - don't. The border between Arizona, and Mexico is not visible on the ground. Make sure that ATC have you on radar, so there are no surprises. The Americans take their border security very seriously, and there is little give, just because you're flying.
Fly the altitude appropriate to your heading.
Allow for high density altitudes on takeoff and landing.
If you want to see lots of expensive jets, fly into Scottsdale.
Be ready for smog, and sand or dust storms, the visibility can come way down on a clear day.
Have fun....