Another Tucson resident here with my two cents worth (and accompanying thumbnails).
1. Estrella Mountain Regional Park. Short hike out to open views of saguaros and the setting sun (not much else of interest though, no cool cliffs or the like).
2. Superstition Mountains. Never personally been, but lots of photographers in Phoenix go there.
Near Tucson (which is about 2 hours south of Scottsdale).
1. Sabino Canyon. The most scenic spot in the Tucson area, nice interesting cliffs, nice stream, high likelihood of desert mule deer.
2. Catalina State Park. Good vistas of saguaros and the cliffs above it (Pusch Ridge) is very scenic at sunset (terrible at sunrise).
3. Tucson Mountain Park and Saguaro National Park West. Classic views of dense stands of saguaros.
Northern Arizona (between 1 1/2 to 3 1/2 hours north of Scottsdale).
1. Prescott - Watson Lake. Interesting rocks surrounding lake.
2. Sedona. A must see - just go there.
3. Grand Canyon. See comment above. Also, elk have become ubiquitous in the last few years - it is impossible not to see them now.
4. Highway 64 (east of Grand Canyon). Interesting deep gorge on a scenic pullout off the highway. Light is very harsh - would be best at sunrise or dusk probably.