In general, things are sorted with the newest items near the tops of albums and galleries.
The Sonoran Desert Preserve is a bit of natural desert within the northern city limits of Phoenix Arizona.
Antelope Canyon is a dramatic slot canyon near the town of Page, Arizona; near the Utah border. There are two sections of Antelope Canyon - the upper & the lower. The upper section is the more dramatic of the two. Visits to the canyon are only possible with a guide. The standard tour lasts 1 hour. A photographer's tour generally lasts 2 hours. At mid-day during the summer, shafts of light reach the canyon floor, making for some particularly dramatic scenes. However, this is also when you'll find dozens of visitors and photographers crammed into the narrow passageways. For a more relaxing visit, try the off-season, and morning/evening hours
The Superstition Mountains are located just east/southeast of Phoenix, AZ. There are a number of trailheads in the area. To reach the Peralta Canyon trailhead, drive Hwy 60 east to milepost 204, and turn left on a forest road where there's a sign. The trailhead is located at the end of the road. This can be a very popular trailhead. Parking is around $4 (I think) per day. There is a machine in the parking lot to pay - it even takes credit cards... wilderness indeed!
The White Tank Mountains are located west of Phoenix, AZ. Currently, they're at the edge of the sprawl, but based on all the signs for "new homes" being built in the area, it won't be long before they're surrounded. The park entrance is at the end of Olive Street. This is a regional park - there is a $5 entrance fee. The park opens at 6am (at least when I was there) and there is no overnight camping.