Frenchy,
I live in Northern Arizona. Moved here from Hawaii (job offer). And I have to say I love it. I live above the 5000' elevation though and had to get used to the very cold weather. Cold weather aside, that area is quite nice. My wife and I were just in Flagstaff last saturday to see the LoTR, TTT again, and do our bi-weekly shopping and it was warm enough that you could walk around in a short sleeve shirt, and there was still snow on the ground.
Page and Sedona are fairly expensive, cost of housing wise, almost as expensive as Hawaii. Flagstaff not too bad. But my views on the cost of living are somewhat skewed after living in Hawaii for the last 20 years, nothing compares to the cost of living of hawaii. So, I guess it all depends on where you are coming from.
Hope this helps, and feel free to ask more questions, I will try to get you an answer.
Torvald