I love hiking in Phoenix, but Cave Creek's beauty is phenomenal. And although there's a $6 entrance fee for vehicles and I believe $2 for hikers/cyclists - it's totally worth it.
My review is specifically for the Overton Trail. The trail is 2 miles long and it loops around with amazing views of the Saguaro cacti and Cholla cacti. We hiked here the day after it rained, and so the Cholla were in full bloom! The trail is well maintained and mostly flat with the exception of slight hills so you can easily choose to run the trail of you want. It's a popular trail for the horseback riding company next door so you'll more than likely pass a group of horses (and horse dung) if you visit. It's also well connected to other, harder trails so I recommend it as a great starting point if you've never been to Cave Creek. Unlike Camelback, Cave Creek always seems secluded, as if you are the only person there at all! Because of this, my other strong recommendation is to catch the sunset. Imagine being alone atop a mountain seeing all of Phoenix as the sunlight hits the tops of hundreds of Saguaro. Breathtaking!