Appropriately named a Phoenix Point of Pride, the DBG is a great place to be outdoors in Phoenix nearly any time of the year. It's especially great in the spring when the cactus blooms are on display.
The Luminaria Nights in the winter are an annual event for us. They have fantastic special events year round day and night, information all over the place about what you're looking at, and very well-informed employees and volunteers throughout the gardens to help you find your way or find out more about what's there.
A really fantastic place for photographers, by the way, as you can see from the photos shown above.
Try going as early in the morning as you can. There's more animal activity at that time and you're more likely to see the jackrabbits, desert tortoises, and a variety of lizards and snakes.