AZ has a sharp learning curve when it comes to hunting.
You can forget the stuff you read in the magazines and plan on investing in high quality optics and wearing out the seat of your pants sitting and glassing. The nice thing about AZ is the variety of game and different hunting conditions you will encounter, from sonoran desert to pines and 9,000 foot mountains. They may not be as grand as CO, but they will do in my opinion.
My focus this year is on deer, coyotes, and mountain lion. I'll do some duck hunting when it cools off a bit too. The style of hunting is different than most places, but it's been said that if you can hunt here, you can hunt anywhere. Get used to longer range shooting too. 400+ Yards on a deer or antelope is not unheard of.