Well i can't add anything on losing your job but i can help out with moving to AZ. I grew up in Prescott (5th generation) and then moved to tempe (basicly phx) for college. After living in Tempe for 6 years I got a job in downtown Chicago.
About the dry heat, its sooooo much better than a hot HUMID Chicago summer day. 105 only really sucks when you are getting in to a car than has been sitting in the sun. Other than that it really not bad. Traffic is pretty bad in phx. But other than that its a good place to live (don't have to worry about snow). I think the housing market is cooling off, it was red hot there for a few years
I agree with Bob, flagstaff is nice. Its a small town but you still have some of the stuff that a big city might have. I love prescott but unless you want to retire there is not much there for people under 55.
In my business i travel to every major city in the US and i think you can't do much better than Denver (Chicago is up there too)