Arizona is in a slump jobwise, just like all other parts of the country. You could put your house on the market, sell it, move into a rental for a while and then try to find a job in Az. By the time your house sells, the market may be up for jobs in Az....THEN move to Az. Of course, finding a job could be easy for you --- all according to what kind of job and your skills. One perk there is that with the first move, you'll get rid of lots of junk (yes, we all have it)....then the move to Az won't be as expensive. BTW -- living where you have cold winters and milder temps, remember, southern Az can get VERY hot in the summer. :) :)
on edit: One fun thing is to go on www.realtor.com and scout out the cost of homes in the area you might move to....homes in Az were a lot more expensive that those where we live....shocked us. I don't know the comparison for you though.