Rent a Harley. I did, and had a blast. I put 600 miles on in a 24 hour rental. Went from Phoenix to Sedona, to Flagstaff, and a few other places. Crusing the area where the college is, is fun and lively too.
I have also rented a car, and then went to Sedona, and they rented a Jeep while in Sedona, at the Sedona airport. There are lots of trails, and places off the trail you can head to, but I would take some type of communcation with you better than a cell phone if you go serious off road.
Take a camera.
Best, and I mean BEST seafood restaurant I have ever been too... Salt Cellar, up near Scottsdale. Does not look like much, but NEAT atmosphere, as the entire restaurant is underground. Alaskan King Crab is AWESOME!!!