I went there a couple of times in the late 90's to play in Pro-Am's. There are a lot of expensive courses, but one place to definitely play is Troon North. As for eating, there was a restaurant called Eli's (East Shea Boulevard, Scottsdale) which was just brilliant. Eli's sliders were simply fantastic. Check out Eli's bar on the internet.
Also played McCormick Ranch, Grayhawk (2 courses), Scottsdale TPC, Moon Valley (Karsten Solheim's course) and maybe a couple more of which I can't remember the names now, except for Boulders. Boulders' water is actually dyed blue, and the green fee... make sure you're sitting down for this... $300 for the round! And that was in 1998. I hate to think what it might be now. Was it worth it? Nah, but we just wanted to see what it was all about.
One thing I remember about Grayhawk, one of the original courses of Anderson Consulting World Matchplay Championship, is how strong the grass was in the rough; very strong, thick blades of grass that the club just struggled to go through.
Wherever you play I know you will enjoy it; in my mind Arizona has some of the best courses I've ever played.