Hi,
What a fun project. I hope you will keep us posted and post some photos of your developing pond. I did a little search and came up with a few websites that have some good information. There is a Phx. Pond Society that has some info on thier site, and also an a website for AZ Aquatic Gardens that sells supplies for ponds and I bet you could contact them for info specific to AZ ponds.
As for plants and direct sun. AZ sun is much more intense than the average direct sun in most the the US. I know this because I grew up in Phx. then went to work as a travel nurse after college (thus gardening in all different parts of the US) and then returned back to AZ. If you put certain plants in direct sun here in the summer they will fry. Native plants and things like bougainvillea that require fun sun are fine. It seems that many fdrought tolerant plants will do well in full AZ sun. Most tropicals that require humidity, especially those with large leaves seem to do better with a little afternoon shade. Large leaved plants (like elephant ears etc)lose alot of moisture from thier leaves and will fry in the hot dry direct sun and climate. Give them a little shade and humidity they do better. Some canna can do well with some full sun but I have found many of them do much better with afternoon shade, epecially the white variegated ones and the dark/vivid colored ones. My tropicanas leaf color will definitely fade out in full sun. It also depends what is around the plant -like say gravel, cement, block walls etc will reflect and hold heat making direct sun situations worse. Now in the winter this could work to your advantage-In summer...certain death for some plants. One thing I have found with my tropicals is to slowly acclimate (by keeping them in pots for a while, I can move them slowly into more sun and see what works. If you watch them and see signs of sunburn it it too much and you can always move them back into the shade etc.

AZ Aquatic Gardens
http://www.azgardens.com/index.php

Here is a link that might be useful: Phoenix Pond Society

Here is a great web site that will give you some local information about water gardening here in the desert.

Here is a link that might be useful: The Pond Gnome

Thanks for that websites. The AZgardens has a good site, but I really want to walk in to a shop and talk to someone and they are in Tucson. The Pond Gnome folks built the koi pond at the Phoenix Zoo (soooo jealous its pretty much what I want mine to look like) but I can't afford them ;)

I really want to put a veggie filter/bog garden on the top of my pond where the water fall will trickle down in from above.

I am really worried that I will either need to water it nonstop or it will drain my pond considering how quickly my little pond dries in the summer. If I simply put some marginals up top in pots in a sealed bottom mini pond would they help filter the water in a comparable manner to a bog with soil that needs some drainage?

I want the planting area separate more for aesthetics than full blown filtering, but if I can do one that does both I would be happy.

Smart advantage 602-278-8518 is the best pond store in the valley and offers plenty of free advice.

Here are some examples of what can be built with their help, these are all Arizona ponds.

Hey.. it might be late but try Egyptian Papyrus... they're awesome for desert pond...

There not in Tuscon but the "Style Nursery" is full service and his specialty is ponds.. he really has his game on with the whole pond thing!

Here is a link that might be useful: Style Nursery Link

Don't skimp on a UV filter, especially if you have any fish. When I had a koi pond in AZ that was the best bit of money I spent. I had two homemade bio-filters in 55 gallon drums which kept good water quality but I couldn't see my fish until I got the UV filter.
My pond was 40feet long, 2-3 feet wide, 5feet at the deep end and stayed very cool in the hottest part of the summer, which is pretty hot inSouthern OK.
I think having some deep parts and a bit of shade is important for both plants and fish in hotter climates. Probably don't need 5 feet though, that's excessive. We had a backhoe and since we were using a liner, it was easy to go deep.