I'll check out some overnight possibilities for you in Santa Fe.
My vote is NM, but I'm heavily biased here. Santa Fe has phenomenal food, a rich sense of culture, history, music, contemporary art, charm, and immediate access to amazing wilderness areas. Scottsdale has expensive boutique shopping, strip malls, traffic, A/C, golf courses, inflated everything, and ughhhhh....... other things of the sterile nature. I've never been to the Superstition Mtns. but I hear they can be worthwhile and within close proximity to the Phoenix Metro area.
March will be chilly up in the mountains of NM in the evening, it's a big transition month.