Welcome to the homeowners club. It's a lot of work, but IMHO it's totally worth having your own patch of dirt. Now about trees, here are my recommendations:
For shade, Sissoo (dahlbergia sissoo) also known as Indian Rosewood is hard to beat. Grows fast, not messy, great shade, can deal with the heat and isn't all that fussy about water either. I planted one exactly one year ago. My budget is tiny so I got a tiny one ($17 for a 5ft tall skinny (not even half inch thick) whip from Lowes. One year later, that tree is about 14 ft tall and over 2 more like 3 inches around at the base.
Mesquite is also good for shade but it has very thirsty roots that compete with everything else for water. Yes they can take a drought, but the roots will make sure that tree has a monopoly on whatever water there is left in the soil around it so don't plant it too close to the house and other trees.

For fruit, I'd go with figs. They're actually awesome for shade too if you let them get bigger. I have a Black Mission fig and a Turkey Brown fig, they're still tiny but both of them started fruiting after just a little more than one year in the ground.

A pomegranate tree is definitelly in my plans and I'd recommend it.

I'd plant several grape vines to screen that porch especially if it is on the north or east side.

And then there's citrus trees. I have an improved Meyer lemon and also a Lisbon Lemon. Both fruiting after 1 yr. $29 at Baker's nursery. Also Rio Red grapefruit and Trovita orange.

If you're into exotic fruits, I have a quince tree, which can take the sun here once it matures, but last summer I failed to paint it and it sunburned badly. It's still alive, I'm hoping it will come back, the flowers are beautiful and the fruit fragrant.
There you go, that's my 2c.

and I'd also like to say what not to get: African Sumac! I had 7 of them when I bought the property. They can be nice looking trees, but they're a lot of work, need a lot of pruning and make a whole lot of mess and they reseed themselves all over like weeds.

one more piece of advice: you'd be better off both budget wise and the trees will grow up stronger if you plant them smaller. I don't believe it's wise to plant the big ones because they take just as long as the smaller ones to get over the planting shock and I don't think they ever build a root system as good as if you planted a small one. If you drive around after one of those big monsoon storms in the summer, you will see that most of the trees that get blown down are the ones that were planted large. I understand the need for instant shade, but instant doesn't necessarily mean better.

STOP!!!!! Before you go berserk planting everything you have ever wanted, take a few hours to draw a plan of the house. Plan first, plant later.

Indicate which will be the AM sun, PM sun, All day sun and all shade areas.

Figure out where your prime vegetable areas will be, what views you have or don't want. How much of that lawn do you want to keep (or does an HOA force you to keep)? Are you plannning to have kids?

If you want fast shade for south-facing windows, make a curtain of shade cloth, like those panel curtains you see on doors. Put it outside the window on 2 spring-tension rods in the casing. I've had some that lasted for 5+ years.

Whatever tree you plant - 5-gallon best, 15-gallon maximum. they are cheaper, establish faster, and within a year you can't tell which was 15 and which was the expensive 24" boxed ones.

Smaller plants - buy 1-gallon instead of 5-gallon if you have a choice.

Read these:
http://www.associatedcontent.com/article/56289/create_your_own_landscape_design.html
http://www.associatedcontent.com/article/51060/frugal_landscapingdont_waste_money.html

and if you need a piece of software to help you draw plans of your house and figure out where the sun and shade will be, I recommend Google Sketchup.
http://sketchup.google.com/download/gsu.html
You can get it off the web for FREE and it's incredibly easy to use, also it has built in functionality to calculate shading. It's super amazing I'm telling you. you draw your buildings and existing structures and then you select your location (phoenix), date and time of day and it shows you exactly where the shade will fall. Even more than that, you can put in trees and see where THEIR shade will be. and the thing is very accurate. A few years ago, software with this kind of functionality (like Autocad) used to cost thousands of dollars and be a royal pain to figure out. I think we're very lucky.

wow, such wonderful information! Thank you lazygardens and greendesert! I am definitely going to start putting together a plan!

...and visit the free parks and public gardens throughout the Valley, especially the County Extension Office at 40th Street & Broadway, the Valley Garden Center gardens at Encanto Park and Sahauro Ranch Park. Visit the local nurseries, like Berridges, Bakers and Harpers and talk to the nurseryfolk that will tell you what plants will adapt to your growing conditions and what kind of effort you'll have to put into them.

Lush can go hand-in-hand with water-wise gardening, hence the County Extension Office and their garden areas. Unfortunately, the annual Real Gardens for Real People Tour was this past weekend but the Master Gardeners are available to answer questions throughout the year.