I was in Phoenix last year and took a day trip to Sedona. With all it's interesting rock formations I would think some scenic hiking would be possible. Try
http://www.hikinglasvegas.com/Sedona.htm or
http://www.americansouthwest.net/arizona/sedona/.
Also found this for Phoenix:
http://www.localhikes.com/MSA/MSA_6200.asp