Tucson is pretty cool, except when it's sweltering. You might also want to check out Chiricahua Natl. Monument, Tombstone, Colossal Cave, Saguara Nat'l Monument, Tumacacori Missian Nat'l Monument (that looks really close) - all those are easy day/weekend trips, from the look of it (my map has no scale). Phoenix is about 3 - 4 hrs from Tucson, if I recall, so a bit of a haul for a day trip, but okay for a weekend.
Arizona Highways publishes a coffee table book called Arizona Landmarks
, which is pretty cool (that's my reference at the moment). When we lived in Phoenix, we'd just open the book to something that looked appealing, and go there.
It's also fun to check out the unique little museums in the tiny little towns - we visited the 20 Mule Team museum in Boron, CA, the decrepit little gold mining ghost town of Randsburg, CA (a shanty town outside of Johannesburg), a mule museum in Texas somewhere, one dedicated to rose stone in Oklahoma, and plenty of other oddities...they're mostly fun because they are so utterly bizarre.