It is difficult to find scenic and comfortable sites in Southern Arizona. The best ones that come to mind are, Mt. Lemmon Campgrounds,  Bonita Canyon in the Chiracahuas, Reef Campground in Carr Canyon, Riggs Flat and Soldier Campgrounds on Mt. Graham, Triangle T Guest Ranch in Texas Canyon, St. David RV Park. Many of these campgrounds have size restrictions, so check before venturing out.
Here are a few suggested posts to get you started.
For interesting scenic Road Trips and Back Roads visit our page on Scenic RoadTrips.