Where are you staying? Downtown, Biltmore area, Tempe, Scottsdale, Glendale (yuck)?
If you're younger and into a club/college atmosphere, go to Mill Ave in Tempe. If you're more of a straight up club/bar scene, check out Oldtown Scottsdale. Both of those places are also nice to visit during the day. The Biltmore area has some things to do, mainly they revolve around the Biltmore Resort and the mall in the area. Downtown has a couple of theatres, the Herd Museum (largest collection of Native Art in the country I think), Phoenix Art museum, for nightlife near downtown check out Alice Cooperstown or the Roosevelt area (it's along Roosevelt (of course) just north of downtown). Don't know what it will be like this time of year but you could always check out Papago Park and see if the zoo or Botanical Garden (Sonoran Desert is one of the most biologically unique regions of the world) are open.
Unfortunately the light rail system isn't open just yet so I'm not so sure if you'll be able to get around the city to see most of these things. The buses are pretty alright though

*sigh* I'm in class and this all I can think of off the top of my head.
The really happening parts of town are Old Town Scottsdale (downtown) and Mill Ave area of Tempe. After that It would be the Roosevelt area of Phoenix.
Also, don't go too far south or west of Downtown. You would think the state capital area would be nice, and it is during the day, but as soon as night falls you will want to get the fuck out of there.
Also, if they are in town and you can afford to pay for scalped tickets (perfectly legal there) a Suns game would be a lot of fun.