Too bad it's not in January, that's when all of the auctions are going on.
I don't know too much in the Phoenix area, but there is a couple of great museums south of Phoenix, near Tucson. The first is the Pima Air Museum, one of the best collections of vintage military aircraft in the world (beat only by the Air Force Museum in Dayton OH). The second is the Titan Missile Silo Museum.
Keith