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For almost twenty years I lived all over central Arizona in Phoenix, Tempe, Scottsdale, Mesa, Glendale and Peoria. And I fucking hated it.
Winter is actually really nice there but the rest of the year, to me at least, is Hell. But then again I love the cold and despise the heat so Arizona just isn't the best place for a guy like me. YMMV.
One good thing about AZ is the gun laws are really lax and you can also just drive a little bit into the desert in any direction outside of town, set up some targets, and just shoot shit. No need to fuck around at a shooting range.