I am so glad I had the opportunity to recently visit the Heard Museum--it is a wonderful gem in Phoenix. There are multiple exhibits of Native American art and history, with a particular focus on the southwest. There is a tour (maybe once every hour or so) that gives you the layout of the museum, and then you can go in and follow up on particular exhibits that interest you.
The overall layout and building/grounds (especially the outside) are beautiful. Plenty of outdoor seating and makes for a great afternoon in Phoenix.