If you've ever driven south on Phoenix's Central Ave. to the gate of South Mountain Park, you may have noticed a couple of ancient looking stone buildings on the left side of the road. Built in 1936, and known as "Scorpion Gulch", these buildings are currently part of the park, free and open to the public.
If you're into spooky atmosphere, bring your flashlight and explore them at night (it's too hot during the day anyway). There's lovers-lane style parking across the street, and the sign says the area is open 'til 11pm--pretty racy!
Links: Cool info on Wikipedia