Hardshell, there are many places with good beetle populations and diversity in AZ. Southern Arizona is widely considered the "hot spot" (no pun intended!) for insect collecting. Timing is the most critical part of collecting there though. The rainy season is the best time to collect most species. This usually takes place from late July through late August (you get occasional "early birds" and "late bloomers" every year though). Every year is different however. Arizona has been in quite a bad drought for the past several years with the rainy season not lasting as long, and not being as intense. I've never seen heavier rainfall than in Southern Arizona during the monsoons, not even Southern Florida can come close to the torrential downpour! Last year however proved to be quite productive for several friends of mine, with the rains being long lasting and fairly consistent. So hopefully next year will prove to be productive. Just make sure you check the weather reports for a week or two prior to departure!
My favorite place in Southern AZ to collect is Nogales. This area has however turned into the "wild west" in recent years with drug runners and illegal immigrants causing quite a lot of problems for the town. I personally wouldn't even consider going down there to collect without my .38 revolver! However this is not to scare you, it is simply to let you know that there's some pretty bad stuff that goes on down there, but if you're with a group of people and at least one of them knows the area you should be able to avoid danger. In my opinion the invertebrate and reptile diversity down there makes any risks worth it!
Also, in Central Arizona is the town of Payson. If you're heading down to Arizona to do collecting you cant pass up Payson! This is the best spot to collect Dynastes granti in the country! There are many reports of collectors acquiring 50+ granti in a single night! 10-20 is more typical though, but that's still a great haul!
As far as light collecting goes, there's many different methods. The use of a 15 or similar watt black light is a tried and true method. It has been used for years and years with great success. This method isn't without it's drawbacks though. The black light tubes are only able to throw "light" a small distance, and they're very "one dimensional" in terms of the spectrum they produce. Not all insects are attracted to the same spectrum's of light, black light for example produces light in the UV spectrum. So it will only bring in species that are attracted to that spectrum, and other species will ignore it entirely. The true "end all be all" light for collecting is the mercury vapor bulb. These bulbs have an -extremely- strong light source and have a wider color spectrum than the black light while also producing ultraviolet light. In short, the mercury vapor bulb will bring in all the same bugs (in much larger quantities) as the blacklight, but will also bring in a vast multitude of other species not attracted to UV. Basically if a bug is attracted to any kind of light, it'll come to mercury vapor. This method is also not without it's drawbacks. The units are very expensive ($250-300) and require the use of a generator (also very expensive) if a plug in isn't available. The type of light you use while collecting depends on how much money you want to spend and how often you plan on light collecting. If you're only going to do it once or twice a year, it's probably not worth spending the money on a high end unit. On the flip side, if you plan on being a true "bug nut" and collecting every other weekend (guilty!) it's well worth getting a higher end unit to increase productivity!
I knew this would turn into a lengthy reply