Having been born in Tucson and lived there for the first 31 years of my life, I'd say that it's a nice city that I will always be partial to. I enjoyed being with the people I've met over the years, the great restaurants I've eaten at, the small events that are unique to the area, etc.
But like most other people who stayed in one place for too long, I don't imagine living there permanently again. If I return to the US, I would probably make the utmost effort to live in another city, like Seattle, somewhere near the Bay Area in Cali, San Diego, Los Angeles or Portland. Tucson is great, but I agree that the job market is pretty scant. If you work for the missile company (Raytheon) or go to college at the U of A, great... but otherwise it's a tough place to make a living.
I will come back to visit for 2 weeks this Christmas, not having been back since July 2007. It'll be great to be back, since most of my family and my friends are still there.
Go to Phoenix if you want better options your career and better nightlife, but your summers are going to suck hard. It's always 10 degrees hotter up there than it is in Tucson.