Sedona would be my top recommendation. What a beautiful place and just 90 minutes from north Phoenix. There is a wonderful campground right in Sedona, but often they are booked. Other fine campgrounds in the Cottonwood area. I have often had good luck booking at the RV campground right in downtown Cottonwood.
My second best recommendation would be Lake Havesu. I stay at a campground about 15 miles south of Lake Havesu City called Havesu Springs RV Park. Lots of fishing and boating activities there accessible right from the campground. They also have their own challenging par 3 course right on the premises. A few miles away is the regulation course Emerald Canyon where we play during our Quartzite rally.
Speaking of Quartzite, there is another cool place to stay. They have campgrounds inside QZ, and our rally dry camps at Tyson Wash a few miles south of town.
Arizona is filled with cool places to visit on a weekend, especially if you dry camp. I am sure others will chime in with more weekend adventure spots for you.
