Automobile: One thing that makes the heat more bearable is getting your car windows tinted. I just had ceramic tint put on my car and I feel dumb for not doing it earlier and I have lived here nearly 10 years. It makes a big difference. My car is never hot when I enter it. It really keeps you cool. Ceramic tint is more expensive but regular tint is pretty affordable and works well too. However, if you or another family member will be doing a lot of driving, I highly recommend the ceramic tint. If you and several friends get it, they will offer you a significant discount on the tint.
Also, I highly recommend getting front glass coverage on your automobile insurance. It's really dry and hot here which leads to more cracked windshields. I have lived here since 98' and I've had to replace 3 windshields. All 3 of those were due to a small pebble or stone hitting my windshield on the freeway which later led to a crack.
Utilities: When you are setting up your utilities, make sure to be placed on the energy saver plan with the electric company. Your AC bill in the summer will be expensive. However, these companies have rate plans that charge more during the day and less at night. I saved about $60 off my electric bill when I switched to that plan. Do your laundry at night and keep your thermostat at 80 during the day when you aren't there. APS doesn't advertise it so you have to request being placed on it. And even then, there is a waitlist so they usually can't get someone to come to your place and set you up on the plan for a month, so make sure you do so when you first arrive.
Apartments: Lastly, check out apartmentratings.com and talk to people before moving into any apartment here. A lot of apartments may look really nice and have really impressive leasing offices but that doesn't mean anything. For example, I have a close friend who lived at Sage Stone last year and he was having issues with scorpions. You would never get that impression about Sage Stone by walking into their leasing office or looking at the apartment from the outside.
Also, don't be afraid to negotiate prices that are significantly lower than what they have listed. These leasing agents are paid on commission so they can negotiate prices. They will make it seem like the prices are fixed or that there is so much demand that they don't have to offer you a deal but they are just playing the game. They will offer you a school discount, a free month and the waiving of "administration" fees and try to convince you that they are treating you special. However, they offer this to everyone so ask for another $100 off rent....in the nicest way possible.
Buying a Home/Condo- My wife and I just bought a home here and so I learned a lot of things I wished I had known about earlier. It might be a sellers market nationwide but Arizona's real estate market hasn't slowed down that much. There is still a lot of competition for homes that were built in the last 10 years. Expect multiple offers on any decent home around campus. You can improve your odds of successfully negotiating and winning a bid on a home. Before hiring a realtor, drive around the neighborhoods you might be interested in. There are a lot of for-sale-by-owner homes. You will be able to negotiate a better deal if you contact these owners directly versus going through a realtor. Also, you are likely to get a home if you contact the realtor listing the home you are interested in because that realtor doesn't have to split his or her commission because you aren't represented by anyone. The listing agent will be much more inclined to sell to you versus someone else who is represented by a realtor.