If you like biking, rent mountain bikes from Bike and Bean. Definitely do some hiking - get your Red Rocks pass for parking at all the trailheads. Bell Rock is a must do. I've heard good things about Elote Cafe, but it was closed the night we tried to go. Tlaquepaque is *the* shopping spot. Pink Jeep tour up Schnebly Hill Road. We once did Schnebly Hill Road in a rental car, but I would not recommend that.
Grand Canyon for a day trip if you've never been. Use the free park shuttles to go to somewhere that isn't right by the lodge and you'll lose a lot of the crowds. You MUST hike down off the rim, at least a little ways - it's such a different perspective than standing on the rim with the hordes of tourists. Flagstaff is a nice place to stop along the way from the GC.
For the drive from PHX to Sedona, drive during daylight hours if you possibly can, because the trucks and steep grades can be kind of harrowing at night. If it's daytime, stop at Montezuma's castle.
mommy to DS who is 9
DD who is 6
and my girl in heaven