I was out in Arizona about a year ago... unfortunately my husband and I both got sick, so we didn't do everything we'd wanted to.
If you have the $$$ check out the Sunday brunch at the Hyatt in Scottsdale. It's a buffet, but an unusual one... you go into the restaurant's kitchen, and there are things like a salmon plate, cold meats, cheeses, caviar (!) etc. There is also a sushi chef who will make anything you like. And you can ask the chefs to prepare omelets, waffles, eggs, etc. And you get champagne.
The Grand Canyon is, like AZ-AlphaXi said, a considerable drive from Phoenix - not really doable unless you want to make an overnight trip out of it.
We've heard Sedona is nice - that's about a 2 hour drive - but since we got sick, we didn't make it out there.
Enjoy!