Lake Pleasant is [b]THE[b] local lake for the Phoenix area. 45 minute drive from downtown. It can get crowded, but they close the door when it reaches capacity.
Other lakes are Roosevelt, Apache and a few others in the Salt River chain. How good they are depends on the water level, which hasn't been all that great in the last few years, but a good snowfall in any year will bring them all right back up.
The Valley has really grown, particularly the west valley. Look at Avondale, Peoria, or even Buckeye for the best bang for your housing dollars.
The north east valley in Scottsdale and Paradise Valley is pretty high end, and Mesa is pretty much apartments or older houses catering to low to moderate income.
You can also go south to Tempe if you can stand the college crowd, or Ahwatukee. Chandler is pretty nice, too.
The freeway system has been greatly improved, and you can get pretty much anywhere in the valley in less than 45 minutes. IF you're used to LA traffic, even rush hour will seem like a breeze.