There are a lot of things to do in the "Valley of the Sun" with kids. Here are some places that I have taken our younger visitors to enjoy. If you have specifics in mind, let me know.
Hike "Camelback Mountain" in Paradise Valley
Ride Horses in Cave Creek / Carefree
Mountain Bike in "Papago Park"
Rent Paddle Boats in Tempe Town Lake
Learn at the "Arizona Science Center" in Phoenix
Visit "Out of Africa" in Goodyear
Take a "Pink Jeep Tour" in Sedona
Go to the "Desert Botanical Garden" in Tempe
Play at "Crackerjax" in Scottsdale
Travel to the "Grand Canyon" in Northern Arizona
See the "Desert Botanical Garden" in Tempe
Enjoy the "Phoenix Zoo" in Tempe
Attend the "Desert Sonoran Museum" in Tucson
or you can shop and dine at "Kierland Commons" in Scottsdale, "Biltmore Fashion Park" in Phoenix and "Scottsdale Fashion Square" in Scottsdale