I liked Alpine and Nutrioso in AZ when I drove through the region for work on a Hotshot crew in New Mexico. Nice woodsy areas make the southwest shady and cooler (I am from Oregon and have a preference for trees.) Flagstaff is nice, but overpriced. Good elk hunting in the Mogollon plateau area of NM. Also nice country on the outskirts of Santa Fe NM.
South of Reno (Carson City, Gardnerville, etc) can be more affordable, and provide access to the eastern Sierra.
Sounds like a road trip is in order to see some areas to help inform your choice.