Adversary, you didn’t mention what you like to do for entertainment. Depending on your leisure preferences, Arizona could be an amazing experience. My recollections are over a decade old, but I doubt it’s changed that much.
Hunting: Arizona is a hunter’s paradise. It’s not hard to get drawn for at least something every year, and there is an astonishing amount of open land available. In most states expensive long-term leases are a necessity, but in Arizona you merely need some determination and good hiking boots. In one year I got drawn for Elk, Mountain Lion, Whitetail, Mule deer, Javelina, and Antelope. This got me outdoors for literally weeks. It still remains one of my favorite years of my life.
Camping/Hiking: Again, it’s an outdoor paradise. If you’re from the East this may be your first exposure to BLM land. I’m not sure, but I think AZ has more public land than any other state. It’s hard to get used to being able to simply turn your truck off the road and drive as far as you want to set up camp. Obviously you need good maps to be sure you remain on open land (and in reality it’s best to stick to already established tracks). There are (were) desert introductory courses available, to learn how to make these trips safe, whether it’s an hour or a week. If you care to drive North a bit, you’ll find something called the Mogollon Rim. Topping this will get you into some beautiful (and surprisingly cool) forests. You can buy maps showing all the old logging roads, and these (being public) are free for you to use. I’ve driven my truck literally hours down these old tracks to find a variety of near-perfect lonely spots to camp. Once I camped up there in November and enjoyed over a foot of snow for a week… then drove back down into the valley where I gradually went from full heater/defroster to running the A/C in my truck. All in a few hours.
Mountain Biking: The Phoenix metro area has (or at least had) an abundance of interesting bike trails nearby. You don’t need to pack and leave the city to enjoy this; It’s something you can do on your way home from work. Just notice that the other bikers are probably carrying a lot more water than you’re used to seeing (even for a 1 hour trip).
Boating: Not so much. You’ll notice there are some huge lakes available (Mead, Powell), but they’re a considerable drive. The lakes near the metro area are so crowded they’re essentially unusable on weekends (imo). I found it was best to concentrate on non-water sports while there.
A couple of recommendations if you’re going to do any serious outdoor activities in AZ (I yield to the advice of current residents if this is outdated).
Take some sort of desert introductory course. They used to be easily available, and some are combined with jeep tours of the local desert. It’s really more dangerous than it looks. Also, as odd as it sounds you might want to take a Hunter Education course. Even if you’re not planning to hunt, it’s cheap and they go over a lot of detail about land rights, BLM lands, when you can and cannot open a ranchers gate and cross their property, how to determine when active hunting is going on, etc. This course also had a lot of useful advice on safety in an unusual landscape like Arizona.
If you move there, I hope you enjoy the state as much as we did. 