Living in Phoenix, the cost of living is not too bad. About $700 for an apartment with 2 rooms, and a living room/kitchen in Tempe. As for cheaper, Scottsdale is definitely not cheaper. It is one of the richest parts of Phoenix, and the area just sucks.
Chandler is about as expensive if not more expensive than Scottsdale.
As for prices for just living, gas is not too bad, about $3 right now. Living expenses for food and whatnot are about $150 a month for me, and that does not include the take-out and whatnot.
Las Vegas, is really expensive, but if you are able to find a place to live, the rest is pretty cheap as well. As long as you are willing to take advantage of all the deals. That being said, I don't think I could live in Las Vegas. Last year I was there for 2 weeks during BlackHat and DefCon and the entire area is too fake for me. It looks pretty, but once you see past the glamour you see the rotten core underneath.
I wish you good luck in your moving!