New Mexico has some really nice natural beauty or whatever you wanna call it, but the towns and cities all pretty much suck.
Arizona is more diverse from a landscape/nature perspective and has a lot cooler areas, and it has some really nice towns and cities too. It's like New Mexico but better in every way. Even if you don't like Phoenix, there are several others towns or cities that are nice to live in, big and small. The only thing missing in Arizona is a hockey team.
Indiana has...well I went to a Skyline Chili there last time I drove through, so that was a +.