Sedona is so gorgeous. There is a LOT of shopping, a lot of dining, and a lot of outdoor scenic hiking/nature trails. I really enjoyed it but be warned, it is VERY expensive.
The grand canyon is less than 1-1/2 hours away. You might put that in your plans also. It will be cool in jan. But so beautiful. There are snow fluries but nothing real bad. I know, it snowed a little in january on me.