In Phoenix (any place south of Flagstaff) you get on average something like 350 days a year that are sunshine. Trust me, after you've lived there a few years you will get bored with sunshine every single day. The average daily high temperature will start being over 100 in April, it will stay that way until sometime on October.
In the winter time it is possible that the temps could get down to freezing at night, but that will be very rare. For the most part the temp range will be from low 40s to 80s from November to March. There will be some days that you might want a light jacket or sweater, you never need a "winter" coat.
As stated, it isn't as humid as NJ (or anyplace east of Colorado). 110 in Phoenix is more tolerable than 94 in Orlando. But, it does get bleeping hot. The heat in places like the inside of a car are unbelievable. Leave something plastic inside of a car with black interior that is parked outside for 10 hours during the summer, it will melt. You do not want a car with vinyl seats in Arizona, it burns to sit on them.
In the summer there are these storms called monsoons. These blow up from the south, kicking up all kinds of dust and then proceed to pummel everything in their path. Very intense rain and intense lightening. They are short lived. After it will be humid for a few hours until the moisture is all absorbed. The good part is they tend to cool everything down by 10 degrees or so. You may see pictures of these wall of dust storms coming across the dessert towards Phoenix, those are the monsoons. There are places in the dessert that look like dry riverbeds most of the time, these are called washes. When the monsoons come through the washes turn into raging rivers for an hour or so, then go back to being dry dirt.
Lived in Phoenix for several years. Now I live in snowy cold New England. I wouldn't hesitate to move back to Phoenix if the circumstances were right (i.e. good job).