The Cardon (pachycereus pringlei) which is from the Baja/Sonora region is very hardy and grows faster than the more common saguaro. You should take a visit to the Phoenix Botanical Gardens too as they've got some gorgeous examples of desert cacti and plants so you can see them.
There are several desert cactus that will grow in Phoenix. I like the Trichocereus/Echinopsis Terschekii from Argentina which is a smaller cactus which has a fairly good growth pattern and doesn't require too much care other than making sure it has a nice sunny spot and some water.
Obviously Saguaros will do extremely good in Phoenix but they are slow growers. On the bright side they don't require a lot of care. You can pretty much even forget about them for a while and they will thrive unless for some reason a hard frost visits in winter.