You don't have to stay indoors in the summer, but it's best to become an early bird with your outdoor activities. It's much more pleasant to play golf or tennis early in the morning when it's still 80 degrees. The other key thing I've learned is to stay out of streets and paved areas in the afternoon because they really heat up, probably to 120+ on many days. Grassy areas like golf courses and parks don't get that hot and are relatively comfortable in the summer because of the low humidity around here.
Arizona frys car batterys. In the summer, 110 outside temps, then add on another 75 or so degrees in under the hood in the engine area, and it far and exceeds 120 degrees under the hood.
I had friends that lived in AZ for 6 years and they eventually moved due to the extreme heat.