I think it's really interesting that, other than family and Athena, nobody has talked about the social impacts of moving. DH and I aren't from our town and moved here for work, but I really can't imagine leaving now since we've invested so much time and energy into building our community here. I'd be really loathe to give up our friends and community here and start over.
We live in a HCOL area; family is not nearby, but I think we're going to stick around for the long haul unless unforeseen circumstances arise.
For the OP -- do you like Arizona? What part? I've spent some time in Phoenix in both summer and winter and loathe it. As someone who likes to be outside every day, I find that part of the country not at all pedestrian or bike-friendly, and the weather is horrible. Plus, no water.