We researched Arizona as a relocation option last year. We live in a Colorado ski town and it was getting so expensive that we considered cashing out and moving. Our experience:
Scottsdale/Cave Creek - we actually liked the feel of Cave Creek, with it's horse ranches and open spaces. I wasn't a fan of Scottsdale. Too many Ferraris for my taste.
Sedona - had high hopes because we love mountain biking and hiking. Spent enough time there to see that is it beautiful, but waaaay to touristy for us. We thought our ski town was bad until we went there.
Flagstaff - can't put a finger on exactly why, but it just wasn't the vibe we were looking for. It is a college town if that is a plus for you. It's also at 7K feet which may or may not be a plus. That was fine for us.
Prescott - this is where we decided we'd live if we moved to AZ. The weather is our Colorado town +10-15 degrees with a generally mountain-like climate. Great mountain biking, surprising restaurant quality and variety. Very local vibe to it. We actually had an accepted offer on a house downtown, but it failed the inspection so we were back to square 1. One warning: the median population age is definitely older. That was the one thing DW didn't love because we are still in our 50's.
In the end we got back home and the perfect house came on the market so we paid the stupid money necessary to get it and we are dug in for the next decade. I think we would have been very happy in Prescott, but it just wasn't meant to be.
Good luck with your search!