Not living in AZ now, but went to college and pilot training there. Ditto on the Grand Canyon and Sedona. If your parents like things other-worldly the Meteor Crater outside Winslow is a real kick, though I hear it's getting touristy. Kitt Peak observatory has some interesting programs, you can get quite a bit of info from:
http://www.noao.edu/kpno/
Don't forget to keep the eyes open for the sunsets - they're incredible.