Depends on what you're looking for. If you live in a cold area, I'd recommend the Phoenix area (Scottsdale, Glendale, etc.) It's in the 70's now--you'd have the pool to yourselves (or at least no locals--too cold for them!) More picturesque would be Sedona, but you could do both.
To be honest, I prefer Tucson, but it will be a little cooler. The Arizona Sonoran Desert Museum is a wonderful zoo with natural and natural-looking habitats. Old Tucson is the famous movie studio, but it's been totally rebuilt after a fire in the 90's. Lots of hiking in both areas if you're into that.
I think you said in a previous post that you're from NW New Mexico--have you been to White Sands? The older kids would enjoy sliding down the sand dunes--and maybe you too. I did! Ruidoso is another beautiful area in the center of the state, but it's cold and snowy now.
I love Las Vegas, but I don't think I'd go with young kids. There are things to do, but it's a madhouse and a lot of walking.
That's my 2 cents from my 22 years in the Southwest.