Okay, first of all, relax my friend. I've lived in Phoenix my entire life (I'm 27), and it's not the horrible fucking cesspool, boiling over hell's fire that it's made out to be. It's not metropolitan and flashy like L.A., but it's not the worst place in the world to live. You just have to put forth a little bit of effort to find the beauty and the interesting things to do.
Which part of Phoenix are you moving to? A lot of people say "Phoenix", but to people from out of town, that can encompass a ton of geography. Central Phoenix has come a long way in the past five to ten years, and has become pretty hip. The light rail opened the area up to a lot of good restaurants and bars, and other places to hang out. Tempe's got some interesting places, as well, and you can always catch a ball game or cruise around the university area for a good brew, or some decent food.
There's plenty of museums (Phoenix Art Museum, the Musical Instrument Museum at Tatum and the Loop 101 is rad), lots of gorgeous hiking and bike trails (I took the liberty of finding you a listing: http://www.trails.com/activity.aspx?area=10152), and believe it or not, we have some of the hottest women around. The local music scene is solid, and there are some great hole-in-the-wall places to see good bands.
And if you want to get out of the city, Sedona is stunning, Prescott is cozy as hell, and Flagstaff is a rad little college town with great atmosphere -- all of which are close enough to visit for a day trip. We've lucky enough to have all sorts of climates and ecosystems available to us. We've got deserts, forests, snowy mountains, lush green lands, and lots of historic towns and landmarks to check out.
Let me know which part of the valley you're moving to, specifically, and I'll point you to some cool places near you to get you started.