Have them try some white water rafting...they don't have enough time for the Canyon, but do a search and you can find great day trips all over the state...or Utah.
If your parents are into birding, one of the migratory paths for much of North America goes through Southern AZ. Do a search on Sierra Vista, etc.
I will echo the Sedona recommendation. There are some areial tours out of the local airport. I've flown through the area many times when I was stationed in San Diego and it is simply incredible.
Lastly, New Mexico is very doable from AZ...I recommend Chaco Canyon.
They'll have ball.
http://www.nps.gov/chcu/
Edit: I'm not from Az, but have spent a lot of time there, mostly in my misspent youth as a ww rafting guide.