Take a trip on the Verde Canyon Railroad - it runs from Clarkdale which is around 40 minutes drive from Sedona.

-www.verdecanyonrr.com.

This comes highly recommended for all ages, and offers a wonderful opportunity to see wildlife and beautiful scenery. Visit Cottonwood en route. :)

Jerome, Arizona is interesting and could be reached by Cave Creek in a little more than an hour/hour and a half, I would guess. It was a copper mining town that became a ghost town when the demand for copper decreased The town has been revitalizing and has a number of interesting things to see/do. The Food Network show, $40 a Day, featured Jerome restaurant, The Haunted Hamburger, on their show. There is some info available at: http://www.azjerome.com/

Jerome is in the general vicinity of the area you board the Verde Canyon Railroad, as suggested in another post.

Montezuma's Castle is also an interesting sight not far from where you will be staying. Go to: http://www.nps.gov/moca/

I'm not sure when you will be there, but you could see a baseball/football game in Phoenix. The stadium is beautiful and there is a Hard Rock Cafe (always one of our favorites as we collect the shirts) just down the street.

In Cave Creek, we found a small shop/restaurant called the Indian Village, where my husband said he found the world's best Navajo Tacos. It's on the main road in town. Here is a site that I think is kind of cool...a local's perspective of the best in Cave Creek. http://www.rogieisadog.com/cavecreektown.html

Enjoy your trip!