Arizona is perfect in December, the superstitions east of Pheonix are great.
I'd also suggest Oak Creek Canyon between Sedona and Flagstaff - this is 1.5 hours or so north of Phoenix. I've never been up there in December but Sedona is very similar to Phoenix in climate. Oak Creek Canyon is very pretty with not a whole lot of elevation change.
Go any further north though, to Flagstaff, which is much higher in elevation and you may encounter snow that time of year. Yes, it does snow in Arizona - Flagstaff is called "Little Colorado", it's awesome up there.
Southern Utah is probably too cold this time of year, Grand Canyon as well plus it is probably too difficult.
Joshua Tree in California also comes to mind, but I've never been out there before so can't comment much on it.