I've came from Chicago, and now I've live in Scottsdale. The trade off of coming from a city such as New York or Chicago, is you lose a good amount of the culture of which you've grown accustomed. Sure, the climate is amazing. I don't have to own a lawn mower, shovel, ice scraper, and I haven't worn a winter jacket in 3 years. But amazing food, neighborhood art/music festivals, and academic institutions are quite different and typically somewhat disappointing to a city grown newcomer.
There is a good amount of truth that everything you come across in the desert wants to sting, prick, poison, or bite; however, it is a very outdoorsy metro area so the recreation opportunities are plenty. It is funny someone mentioned firearms; Arizona prides itself on being a western culture. Yes, you will see a guy eating at McDs with a sidearm hanging off his belt. They do have lockers near the entrances of certain government building that you must check your firearms in prior to entering. It was a shock coming from handgunless Chicago, and I know folks that cited it as the dealbreaker since they didn't feel safe.
Visit a few times to get a feel for the area in the different seasons, and make sure you ask locals for recommendations on what to do and where to go. Feel free to reach out via PM. Also, I have a 5 bedroom house to rent that will come available in May. I love it here.