We recently did it...actually stayed in Phoenix, at the Arizona Biltmore. It was an amazing experience. The downside was one day only at the Grand Canyon, but for us that was enough...not much hikers or adventure type people.
If you can bear to go in the summer, it can be extremely economical. Every 3 nights we stayed on points, we got a 4th free. The Biltmore is a GORGEOUS old hotel. Every president since Hoover has stayed there. When we arrived, we were, as promised in a resort deluxe room. That meant a balcony and a view. Unfortunately, we were at the very FAR end of the resort, a 10 minute walk from the main pools. (though there was a small one just outside our room). In addition, there were 2 double beds instead of queens. Nothing had been misrepresented, I was just disappointed.
After speaking with the desk, they moved us to 2 KING rooms, adjacent to the main pools, at no extra charge. So my husband and I had a room to ourselves, and the girls were in an adjoining room. LOVELY.
The food is fabulous, though very expensive. The starbucks that I buy every morning at home (venti decaf coffee) for $2 was $4.75. We ate breakfast and lunch at the resort 4 days, and had dinner two nights. There's a good poolside restaurant, along with a relatively casual sit-down place, and a counter service place. There's also a "signature" restaurant, where we never ate.
One day we rented a cabana at the pool--offseason it was $80. There are misters to keep you cool all day, a ceiling fan, private restroom, tv, and butler, along with table and chairs and your lounge chairs. Totally worth it. We stayed from 9:30 am until 5 pm that day (we had it reserved until 7).
We went to the Desert Botanical Garden one day, and Scottsdale one day. Truly, though, the temp was 114 degrees, and you just don't feel like doing much other than staying in the pool when it's that hot (I don't care if there ISN'T any humidity).
BTW, Kelly Ripa and her family were staying at the resort, as well, which was kind of fun.