Yeah, when you are used to the heat, it don't bother you, July and August are usually my toughest months at work due to the humidity (and no we don't have AC in our trucks)
The Grand Canyon is cool to see, and its out of the hot zone
A lot of hiking trials around the Valley (where Phoenix is located at) if you are into that, but not much really
I guess it would depend on what you want to visit