I really enjoyed my time living there. Still have family in the state so I go visit fairly often.
Unless you head up to Flagstaff or similar areas you won't have a real Winter to deal with anymore (unlike Ohio!), and that can be nice, especially when that damned Polar Vortex drops by the Midwest or you get sick of shoveling snow. Every region has its own survival challenges, after all.
You will get good at finding shady places to park. They are worth walking farther for. Sometimes a lot farther. But I rode a bicycle 99% of the time when I lived in Tucson so scorching car interiors were rarely an issue and the dry heat makes cycling easier/more comfortable than you might think (I used to commute to and from work about 7 miles each way and the ride home in mid-Summer was often 110-116℉ but with enough water it wasn't a problem). So the same advice they give people at Burning Man applies to living in Arizona: "Drink water 'til you piss clear!"
There are some amazing places to hike and explore, even close to Phoenix. I used to camp in some cliff dwellings along Cherry Creek (East of town), which was great since they are not marked or on a main trail, so are hard to find (my gf at the time and I found them through intuition, much to our surprise). That means chances are you'll have them to yourself, and you can fill your water bottles from the waterfall at the end of the box canyon they're in. Amazing place, and sleeping inside of the actual dwellings was pretty cool, though either a spirit or a mouse stole my weed while I was sleeping there once. If you're into that kind of thing I can tell you more precisely how to get to them. And Arizona is covered with places like that; it would take a lifetime to explore them all.
Oh, and if you do go hiking around in the desert, be sure to carry a small comb (a regular cheap comb is fine). You will use it to remove any cactus spines that end up stuck in your skin, especially if it involves a piece of "jumping cholla" (it doesn't really jump at you, but pieces break off and stick to you if you merely brush past one. Do NOT try to remove spines or cacti chunks with your fingers; that's what the comb is for).