First off, Jobbing.com Arena is awesome! Sitting anywhere in that big lower bowl will give you a nice view.
There's the Westgate entertainment complex outside the arena, which has some fun bars/restaurants. Lots of Flames fans will be hanging around there before and after the game! (check out the Go Flames Go chant after a Flames win for a game I was at-
http://www.youtube.com/watch?v=F75STN3_y1M)
There isn't much around Glendale other than the arena. I'd say your best bet would be to check out areas like Scottsdale (quite stylish if you avoid the cheesy souvenir stores) and Sedona if you can make the drive (beautiful rock formations- what the desert looks like in your dreams!).
Enjoy the trip, and I hope the Flames play well down there.