Gulf Coast Florida is great, as a PP mentioned. February/March ocean temperatures will be warmer than the Atlantic side. Beaches are amazing, and so much to do. On the Atlantic side, we love Del Ray Beach, just north of Boca and south of Boynton. Funky little artistic beach town. We recommend the Marriott on the beach.
Arizona weather is not guaranteed to be warm then, either. Days can be beautiful, and then nights are very cool. Take warm jackets.
In the Phoenix/Scottsdale/Mesa area, we can recommend the Science Centre and the zoo. Take a day trip to the Saguaro National Forest in Tucson -- amazing. If you want to take a day or two in that area, visit Tombstone to see the OK Corral.
Take a day trip to see the red rocks of Sedona and get in touch with your inner whatever. Good outlet mall shopping on the way back, too (to get in touch with your inner material side). Hike Camelback Mountain -- our daughter did it when she was five. It's a good hike, very rocky, and great views from the top. Ditto hiking Squaw Peak, which I found a bit more challenging because the rocks were bigger. I think DD was about 7 when she did that one. Definitely don't miss Taliesin, Frank Lloyd Wright's 'winter' architectural camp. And after that visit, head into Phoenix to take a walk through the Biltmore Hotel to see how his vision played out in a larger structure. If you're into horses and cowboy life, there are plenty of places to take a trail ride through the desert.
And I didn't even mention golf yet! Cactus League baseball is great -- I love the Scottsdale baseball stadium. It's like old time ball.
So many choices! Half the fun is in the planning!