It sounds like you stayed in a really shady area of town. This reminds me of a lesson my CCW instructor taught in his classes. The best way to avoid the need to use your gun is to avoid going to stupid places, at stupid times when people do stupid things. Just because you're armed and ready to defend yourself doesn't mean it's a good idea to go someplace where you are likely to need too.
Now, I understand that you're not familiar with some city you don't live in. You don't see their local news and have no idea what parts of town are dangerous and what parts are relatively safe. My suggestion is to make some phone calls. If you're planning to visit Phoenix, gather a list of a few hotels you would consider staying at and call the Phoenix PD and ask if any on your list are in areas with high crime. Even a forum like this, is a good place to get unbiased info. Don't trust the travel sites or the hotels themselves, they'll never tell you the truth if the truth is likely to hurt their business.
I've visited Phoenix, and called the Phoenix PD to ask if there were any prohibited locations. They said basically, if it isn't a state or federal government building, post office or university, you can carry there without breaking the law. Also, worth noting, AZ has no permit requirement for Concealed carry, so if you feel like you should cover up, you don't have to think twice about it.
I also found this http://www.neighborhoodscout.com/az/phoenix/crime/