This is one of my favorite places to hike in the valley. There are usually hardly any people on the trails, unlike South Mountain or Squaw Peak, and it doesn't feel like you're still within an hour's drive of 4 million people.
There's also an interesting history to the park (there are numerous Hohokam ruins, an old dude ranch, and a few other stories) and if you ever get the opportunity to take a guided hike with a park ranger, it's worth your time.
$3 per person fee to enter the park (Cave Creek residents exempt)