I've been to AZ several times. I'll take hot and dry (AZ) over hot and humid (IL) any day!
One of the things I remember, weatherwise, was one evening while I was staying at the Arizona Biltmore in Phoenix, probably around 10 PM or so... it was hot, dry, and not a cloud in the sky that I could see... but in the distance you could see lightning going off constantly. No thunder, no rain, no wind... just lightning. Weird. I had never seen lightning without thunder or rain before!