Nice photos! Are those overlays on your tails? They are pretty sweet.
Have you tried South Mountain, Papago Park, Squaw Peak (well, its called Piestewa Peak now, but I can't spell that) or even near Phoenix Zoo for some desert landscaping in the city? Otherwise, Im pretty sure you can point your car in any direction and go straight. You'll run into a desert road eventually.
There's always Sedona up north too.