The red rocks around Sedona are a trekker's dream, and if you know where to go, you can jump in a creek as well. Just to the southwest of Sedona, check out Red Rocks State Park. Take a short hike then cool off with a swim below Cathedral Rock.
(By late June/early July, afternoon thunderstorms are the norm--come for a short hike in the morning and play in the water before the clouds build up.)
For more info: http://azstateparks.com/parks/rero/index.html