The Maricopa County parks are the very best for the greater Phoenix area. They have lush huge sites, hiking trails, showers, dump station, water fill and a few even have trees and full hookups. We've stayed at all of them. Favorites are McDowell Mountain, Usery, Cave Creek and Lake Pleasant.
http://www.maricopacountyparks.net/Lost Dutchman State Park in Apache Junction is also wonderful but might be too far for you depending on what you want to do in Scottsdale.
Staying in any of these you would not know that you're in the Phoenix area because of the surrounding natural space. You'll need reservations ASAP as this is prime flower season in the parks.
