An artwalk with vendors, artists, musicians, etc. If you check before leaving your house, you can find some local musicians performing at various venues in downtown Phoenix.
http://phoenix.about.com/cs/enter/a/firstfriday.htm
If you want to try your hand at throwing pottery, check out this studio. In North Phoenix area, regardless of experience, anyone can come throw a pot, glaze it later, and have a nifty piece of art!
http://www.allthehands.com/