Lost Dutchman State Park east of Phoenix. Spectacular scenery and history of the universal (and disappointing search for riches). Great wildflowers. Do not try this in the summer.
Chiricahua National Monument, Southeast Arizona.
Last holdout of the Apaches under Geronimo during the Indian Wars in the 1880s. Great, peaceful campsites in a location developed by the CCC in the 1930s. Area is replete with amazing geologic features and wildlife, particularly the elusive Coatimundi which we actually saw on one of our visits.