It definitely depends on what you and your friends are like and what you like to do. If you are outdoorsy, then hiking/camping in northern Arizona such as Sedona and the Grand Canyon is a must do. The scenery is simply amazing. Even if you are not the crunchy granola type, Sedona is only maybe two hours north of Phoenix so it is easy enough to take a short day trip. There are lots of cheesy metaphysical type touristy shops there which can be fun. At the very least, just take the drive through. There is truly nothing else like it.
If you are looking for a more luxurious experience, definitely stay in Scottsdale. The sanctuary resort is incredible, even if you can just get there to visit the spa. Otherwise I would recommend the Valley Ho as an excellent hotel that is in the middle of downtown Scottsdale. It has a very happening pool and bar scene and the decor is really cool, very mid-century modern. All the other trendy little bars and restaurants are close by, within walking distance. The biggest mall is also close.
What else? Give us some direction!