Eric, it's the Superstition Mountains my friend, because of the legend of the Lost Dutchman.
I was born in PHX, grew up there and both my sons were born in the same hospital I was. Our last home in the area, which we sold in '98, was in the foothills of the Superstitions. The Apache Trail goes back into the mountains and will bring you to Roosevelt Lake, if you're interested. It's a scenic drive and would take up the better part of a day. I do miss the desert.
From Scottsdale you have a trove of opportunities, from restaurants to just walking around downtown to hiking, golfing or whatever else you want to do. It mostly depends on your desires and pocketbook. I do heartily recommend
Monti's La Casa Vieja just over the Salt in Tempe. They may have the best steaks in Arizona. If you like golf, my personal favorite is Gold Canyon Ranch. You'll take 60 east and turn left at the sign when you get out to the Superstition Mountains. Another very fun course is in Fountain Hills. There's also a Frisbee golf course around the fountain there, which is free. You used to be able to rent Frisbees nearby. You might find that just walking around downtown Scottsdale (Scottsdale Road and Main, if I remember correctly), with its western theme, is relaxing. There's plenty to see and enough restaurants in the area to satisfy you. As for Mexican food, Lawrence may be right in regard to the chili relleños, I don't know having never eaten there. But
Tee Pee is one of my favorite Mexican food restaurants. It was there for as long as I can remember. Nothing fancy, but be prepared to wait outside for a spell before you get a seat. Under "Tortillas" in their menu is a dish called the "Mary-Lou." Whether red or green, it's worth the cost of the trip, no matter where you're coming from. I grew up within walking distance of Tee Pee.
Believe it or not, there's a Bass Pro Shop near Scottsdale now. Telling you how to get there would be tough, but I think it's on the 101 heading into Tempe/Mesa. Much has changed there since we lived in the area, so I'm sure there are many more opportunities I'm unaware of. But feel free to shoot me a note if I can help.
Blessings,