If you have a choice, come in the spring, fall, or winter - but not in the summer! Sure, it's a dry heat in Phoenix, but dust and pollution in the air make the summer sun unbearable from about 9am on.
Phoenix never really gets too cold - snow in the Valley only happens every couple of years, and it never sticks. If you live someplace with wet, snowy, grey weather, come down to Phoenix in the middle of the winter and the highs might be 75 with no clouds in the air.
Spring and fall are the "windy" seasons for bike riding, especially the spring.
Making summer a little more interesting is "monsoon season", which is basically June to August - huge thunderstorms will release lots of rain in a short amount of time, meaning the dry creeks and washes will become raging torrents - stay out of low water crossings!
Hope it's not too hot!
From downtown Phoenix or the Camelback Corridor, rent a road bike from Bike Barn. Ride south (or drive your car) down to South Mountain as a warmup. Ride up the road to the top, and then take the side road when you get there and ride back - it's a great ride with some good elevation gain, not too far from the convention center. After you get back and take a shower, (eat at Matt's Big Breakfast if you're done in the morning, or Pane Bianco if you're done around lunch time) go hike Camelback if it's not too hot and enjoy the view from the top - check out South Mountain where you just were. For a really interesting run, take the light rail out as far as you want to run and then run back to your hotel.
If you can finish everything by 5pm (and it's not Sunday or Monday), the place to go for dinner is Pizzeria Bianco in downtown Phoenix's Heritage Square. It's in one of the few old buildings in the entire Valley, and also one of the few restaurants that's not in a strip mall. The pizza is known nationally as some of the best in the country. They only take reservations for parties of six or more a month in advance. If you want to wait for a table, go down before 5pm, or be prepared to wait on the grassy lawns around Heritage Square or in the small bar next door, Bar Bianco.
Another great thing to do in Phoenix if you have a whole day and a car is the Seven Summits - there's an official day to do it, but you can certainly do it yourself. Hike to the top of seven mountains in the Valley in one day!
Cave Creek and Carefree make a great base, about 45 minutes from downtown Phoenix if it's not rush hour. From here, there are some great road bike routes that don't have a lot of traffic, like Seven Springs.
Hiking to the top of Piestawa (formerly Squaw) Peak or Camelback on a weekend - everyone in town goes there becauase it's "the thing to do". Sure, hike them, but do it while everyone else is at work!
Similarly, riding your bike out the Apache Trail is a lot of fun - amazing views, 25 miles of dirt road on the way out to Theodore Roosevelt Lake, but on the weekends you'll be sharing the road with lots of big pickups hauling boats on trailers out there.
For the weekend, Sedona is very overrated. Yes, the surrounding area is pretty, but so are a lot of other parts of Arizona. Sedona's downtown is cluttered with t-shirt shops and timeshares, and there's really "no there, there". Oak Creek Canyon becomes a complete zoo on summer weekends with day-trippers from Phoenix. If you want to go to a neat little town up in that direction, head to Jerome instead. Or go a little further and base yourself out of Flagstaff, which is not nearly as touristy.
Siphon Draw trail to the top of Flatiron Peak in the Lost Dutchman State Park east of Phoenix in Apache Junction doesn't get the attention that Piestawa Peak or Camelback get - it's out of town, the hike is a lot harder, and it's not obvious from downtown - but it's the best day hike in the Valley of the Sun.