I lived and loved Phoenix for 7 years. Plenty of outdoor activity (the San Tans are right down there by Chandler/Gilbert). Tons of great restaurants there (way more than Denver). I went out to CA about once a quarter to see an old classmate friend. It was great. Especially in the Summer. It sucks from Memorial Day to Halloween weather wise, but Sedona and Flagstaff make for a great reprieve.
My best advice? Get a house with a pool. You won't regret it. Valley of the Sun club is great. I think the Aggie Bar (Blue 32) just relocated to Chandler, but I con't confirm. I moved to CO two years ago. Miss AZ sometimes, but not the heat. Good luck.
Places to go:
Carolinas - fast but great mexican food
Pomo - pizza
Pizzeria Bianco - "world's best pizza" if you want to wait 4 hours. Pomo and Le Grande Orange are just as good.
Durant's - gangster style steakhouse. Sit in the bar.
Crescent Ballroom - Good music venue.
San Tan Brewing and AZ Wilderness Brewing are both in Chandler/Gilbert. AZ Wilderness is awesome. San Tan is ok.
Avoid Scottsdale (unless fake bewbs and 30K millionaires are your scene). City Hall is a really great steakhouse, though. Fine dining.
Sedona - hike Cathedral Rock. Dine at Dahl and Diluca for dinner. Ken's Creekside for breakfast.
Flagstaff - Not terrible skiing at Snowbowl, but nothing like CO. Good local breweries. Cinder fields are something to see.