Scottsdale would be good...you can ride out to the north around Bartlett lake, and Saguaro lake to get some climbing. For shorter rides, you can ride around Paradise Valley. South Mountain is a good climb, some folks do repeats. There are plenty of group rides, underground crits in the Phx, Scottsdale area. Not sure about the far east valley like San Tan etc. Tucson does seem like the winter place to go for cyclists though, you might want to talk to some folks from there before you decide on Phx...maybe contact some of the bike shops in Tucson for more info.