There are some wonderful artsie things in the Scottsdale area.
I agree on the rental car.
If you are that close, take a drive to Sedona as a minimum, Grand Canyon for a day if you can. If you can do that, go for the train ride up and back from about half way.
About half of the way to Sedona, there is a place where the native Americans carved huts in the side of a mountain, state park. Great find.
Drink lots and lots of water.....