Great place to go is up towards the Superstition Mountains just east of Apache Junction. I go every year and find some great little critters. Its also a great place to see other desert wildlife.
Since all of Arizona is pretty much a desert, and suited almost perfecty for reptiles, I'm sure just about anywhere you look will give you a nice find. That is just where I frequent. Now is about the best time to do it too, so I'd get out as soon as ya can!!!
My brother and I like to make a weekend of it. Normally take the artillery out and pop off a few rounds at the range, and then head out further for some herping. If you're interested in coming along, let me know. We could make a day of it before the weather gets to hot.