Beware of "Jumping Choya Cactus"
We lived in Phoenix area in the 1970's
These are relatively small, usually no more than a couple feet tall, as I remember. They usually have several arms. They really do not jump out and grab you or your pets, but seems like they do. Their thorns are barbed and cantilevered so if you brush up against one they come off and stick to you or your pet.
I remember a friend's dog who tried to bite one. It took a long painful time to pull all the them out.
Just make sure someone points one out to you so you know what to watch out for.
By all means go to AZ. It is a great place with many things to see and do.