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I agree with the Phoenix suggestions as things will be close to driving distance. Flagstaff is two hours drive and offers some amazing skiing I've heard and a vastly differently climate, makes a good escape. Phoenix has some amazing in-metro hiking with great skyline views. Rocky Point, Mexico is a three/four hour drive which may or may not be good for sailing and scuba diving, not sure how the Gulf of California fairs in that area. But it offers much warmer water than LA and San Diego. There is also Lake Pleasant and Lake Roosevelt and the river in Tempe for some water activities. Denver is a 12 hour drive, SF is about a 12 hour drive, SLC is about 10, ABQ is 8, LV is 4, LA/SD is 6, so as far as driving goes, it's like the world is at your fingertips.
Phoenix's largest industry is financial services. Phoenix has some low taxes which is very business-friendly so it's open to small businesses.
Amazing roads and great traffic for its size. For bikes I suggest looking in Scottsdale or Tempe as the whole metro is not all that bike-friendly honestly, but you get the light rail as well in this area which is good transit to downtown, the airport, etc. You'll also be close to the nightlife so it won't "die" after 5 pm.