Scottsdale's climate is the entire point and also the great limit. From late October to mid-April the weather is close to perfect — dry, clear, days in the 20s°C, nights cool enough for a jacket. This is also when prices spike and the resorts fill with snowbirds.
May, June, and September are the shoulder months: hot but bearable, hotel rates drop, and most attractions stay open. July and August are brutal — daytime temperatures stay over 40°C for days at a stretch and afternoon thunderstorms (the "monsoon") can dump several inches of rain in an hour. Hike before dawn or not at all in mid-summer. The signature events are the WM Phoenix Open golf tournament in late January, the Barrett-Jackson collector-car auction the same month, and Cactus League spring training baseball through February and March.