The Arizona Memory Project offers up a real hodge-podge of the state's exciting history, pulling together digital materials from a wide variety of sources (many of which treat pre-1923 documents as if they are copyrighted. They're not, guys. Get with the spirit of public domain!).
There's not much here for family history researchers -- no name lookups, for example -- though the offline collections look to have a lot of interesting material.
The Arizona Memory Project does a nice job of compiling pointers to other online archives that cover Arizona history. Too many to list them all here, but one worth pointing out is the Phoenix Library Image Collection.
More historical archives and research materials can be found at these excellent resources:
Historical Newspaper Archives Ancestry.com
Genealogy Tools US Historical Newspapers
European Historical Newspapers International Historical Newspapers