I live in Phoenix, Arizona (when I saw your post, Teeny, I jumped a little, haha). If you like the heat then it's okay. In the middle of summer it really is hell. The winters never get cold enough to snow, but it hails a couple times a year. It's not really true that it's hot during the day and cold at night unless you're stranded in the desert lol. In the peak of summer, it's about 120 degrees during the day and goes down to maybe 90 at night. During the coldest days of winter, it's around 60 during the day and 40 at night. It's different than the SE by the type of heat, though. A popular saying around here is "it's just dry heat". It doesn't get very humid here at all, unless it's right after a rain (which rarely comes, but when it decides to, it just pours down).
You'll be moving to Vegas in April, right? I know the weather around there is more or less the same as around here, so it'll be just starting to transition to summer. As long as you don't move in like, July, it should be a fairly easy transition.
Like Teeny, it's a great place if you like the heat. I've met people who've moved here from the east coast and northern states to get away from the snow/humidity, and they wouldn't leave for anything. I like Arizona because there isn't really much in terms of natural disaster besides forest fires. I kind of want to move a little north to the smaller cities because they actually get all four seasons, but being born and raised a city girl would probably be the only reason why I wouldn't.