It snows in MOST places in Arizona, even Phoenix (occasionally). I have built snowmen in the Phoenix Mountain Preserve (it doesn't stick around long though).

Flagstaff has traditionally been one of the FIRST locales in the continental USA to receive snow on any given year, believe it or not, and we used to have a community in the mountains (named "Maverick") that quite often recorded the coldest temperature in the USA on any given day. That's bound to be a surprise to many folks, I know! However, we have been in drought conditions, like much of the western US, for many years so it is harder to find too much snow lately.

From Phoenix, the best places to find a snow playground are Flagstaff (try the county fairgrounds outside of town), the Arizona Snowbowl, and the White Mountains -- the Apache Sunrise Resort would be a good place. Near Tucson, try the Mt Lemmon ski area, only 25 miles or so from downtown Tucson.

Right now, as of this moment, there is 9 inches of snow on the ground in Flagstaff!