If you're looking for good BBQ, Joe's Real BBQ in Gilbert is awesome. They have big vats for dispensing their in house BBQ sauce, which is amazing. They also brew their own Root Beer. Whenever I've gone there, it's always been crazy busy.
There is some amazing hiking in the Phoenix area. One of my favourite areas is in and around Superstition Mountain. Great trails and beautiful scenery. Did a 20km hike last year on Christmas Eve day that was spectacular. Everything from dry river bed crossing, to steep ascents/descents, and even walking through a big bamboo patch.
There is also great 4x4ing around Phoenix, but I remember hearing some changes recently to permits or such. Don't remember the details but might be worth looking into. I believe there are some good off-road rental places in Phoenix which may be able to provide more information.
And oh yeah, there's a little bit of golfing available too
