The AZ Science Center is a lot of fun for kids. There is also the desert botanical garden and the zoo. As someone mentioned, azcentral.com is the site for the Arizona Republic newspaper. There's a town called Cave Creek, north of Scottsdale that has some kitschy cowboyish stuff to do. At Arizona Mills (big outlet center has NM Last Call, and Saks Off 5th) theres and IMAX theatre with may have some fun movies, plus there a Rainforest Cafe which is a fun place for kids to eat.
I wouls also agree that if your car can handle it, go to Sedona. It's only abut 90 minutes north but it will be colder than Phoenix (which is in the high 50's now). You could also head south towards Tucson and go to Kartchner Cavern, it's a day trip from PHX, about 2 and a half hours, but fun.
Hope that helps.
Have a great time.