Cadillac Desert by Marc Reisner. The classic history of how the American West got its water — and how cities like Phoenix, sitting on a dry river bed with very little local rainfall, came to exist at the scale they do. Once you've read it, every canal in Phoenix tells a story.
Bury My Heart at Wounded Knee by Dee Brown. Not strictly about Phoenix, but the Native American history Brown documents is the necessary context for the Heard Museum's collections and for understanding how the desert valley around you was shaped before Anglo settlement.
The Monkey Wrench Gang by Edward Abbey. Abbey's comic novel about ecological saboteurs runs across the Southwest, including a Phoenix-area chapter. More importantly, Abbey is the writer who taught a generation of readers to love the Sonoran Desert on its own terms — read his non-fiction Desert Solitaire alongside it.
The Hohokam Millennium, edited by Suzanne and Paul Fish. The best general account of the prehistoric people who farmed the Salt River valley for a thousand years before mysteriously abandoning the area around 1450 — the same canals their descendants engineered are still in use beneath modern Phoenix.