Alderfer, Jonathan (ed.). Field Guide to Birds: Arizona and New Mexico. Washington, D.C.: National Geographic, 2006. This handy, pocket-size (4x6) guide includes most of the birds you're likely to see in Arizona. In addition to a photo, it includes information about behavior, habitat and specific local sites where you are likely to find the bird.
Corman, Troy E. and Cathryn Wise-Gervais (eds.) Arizona Breeding Bird Atlas. Albuquerque: University of New Mexico Press, 2005.
Sibley, David Allen. The Sibley Guide to Birds. New York: Alfred A. Knopf, 2000.