At all USA gateway airports you will have to clear customs and immigration. After clearing customs, you will need to recheck your bags -- that is generally pretty easy with a bag recheck just outside customs. You will then be outside security and to take the domestic leg you will have to reclear security. Also bassinets on domestic flights (especially upfront) can be an issue.

As mention each of these gateway cities have different issues.
SFO and LAX will make the domestic flight shorter but may be on a smaller plane,
SFO is a shorter walk between terminals vs LAX.

IAH is the next shorter domestic flight. terminal walk is more than SFO less than LAX

ORD, IAD,EWR are more likely to have mainline aircraft to PHX.
IAD is probably the most straight forward transfer but fewer flights to PHX
ORD need to take a train between terminals
EWR you may or may not need to take the train depending on flights

I would tend to suggest SFO or IAH for short domestic flight and less terminal walking

Also would give preference to the airport you personally have transited previously -- familiarity with the airport makes things easier.