As far as visiting Phoenix, there is plenty to keep you busy for a few days! (p.s. Sedona can be done in a day trip, its so amazingly beautiful and EASY to get to from phoenix and I do not know what the other poster is saying but you do not need to use 2nd gear! I go there frequently in a honda civic and do not need to use any 2nd gear, you should give it some serious consideration and there are some nice places to eat with great views!)
back to phoenix, if you are into fine dining then there is Mastro's in North Scottsdale. Its a local steak house that has 2 other locations in southern california. Very pricey but excellent food!
Elements is also a great place, check the site!
http://www.sanctuaryoncamelback.com/.../elements.html
For great ethnic foods, you only need to drive around downtown tempe and you can find wonderful Indian, Pakistani, Mid-Eastern, Mexican, Chinese, Etheopian and almost anything else you could think of!
If you are into shopping, head to downtown Scottsdale for the Fashion Square mall which is now very nicely integrated into the rest of the downtown fabric with the Waterfront canal project and you can check out the rest of the more touristy shops in downtown. If you've already been there then you know there are also plenty of nice galleries and SMOCA as well, if you are into the arts!
As far as nightlife, there are some nice spots downtown such as Amsterdam as another already mentioned and a club right next door to there. Burn is another place within walking distance of there where everyeone seems to go after they leave Amsterdam. Both are gay oriented places but tend to have large #s of straight people too. As far as edgier and more alternative type places Friday nights are definately at a place called "Glam" in Phoenix where they play more of an electro 80s inspired music and kind of grungy atmosphere. Saturday nights are hot at a place called Rogue East not too far from Glam but im not certain of the exact address of either, just search the names of the places IE: "glam phoenix " etc and you will find what you need. Downtown Tempe is also a great place if you are more into the bar/pub scene as opposed to dancing, with the exception of Chery Lounge and Pit on Mill Ave. Scottsdale is the place if you are more into the VIP/bottle service type nightlife with plenty of places of that callibre.
anyway......just a bit of random info !