This small contemporary art museum has only 3 galleries, but the exhibits are usually interesting. James Turrell's Knight Rise sky space is a permanent exhibit, and that is a cool, meditative space. Sometimes they have film screenings, and the Spring and Fall openings are fun to attend and wonderful people-watching. There are often docent-led tours which are really helpful and insightful, too. Check the website to find out about these events.
There is also a gallery in the Performing Arts Center next door, that I think is devoted to student artwork. I also like the gift shop. And the Scottsdale Civic Center Park that it is situated in, with the green lawns, LOVE sculpture and many fountains is a nice place to visit too.
If you enjoy modern art and design, it's worth checking out. This museum is free on Thursdays.