In Phoenix you might see Ornate Tree Lizards, Common Side-Blotched Lizards, Tiger Whiptails, some non-native geckos, and maybe a Chuckwala if you hike one of the parks.
Get a few miles outside of town and you'll find all sorts of other interesting lizards. In the foothills and mountains, the Greater Earless Lizard, Cophosaurus texanus, is one of the most spectacularly colored.
|Greater Earless Lizard, female|
Greater Earless lizards can be seen from central and south Arizona into central Texas, and south in Mexico. Like many lizards, it is a ground-dweller that eats insects (spiders, grasshoppers, crickets, etc). As alluded to above, it is generally seen above the low desert, but usually not in high elevations.
If you're looking for an excellent (albeit large) field guide to lizards, I highly recommend Lizards of the American Southwest.