Wow! I was pretty blown away. The quaint Asian exhibit is a nice intro, but the modern art is what really takes the cake. Like Guy said, the Yayoi Kusama piece "You Who Are Getting Obliterated In The Dancing Swarm Of Fireflies" is worth going for on its own merits. I won't give any surprises that this great museum holds in store for you, you'll have to discover the magic yourself.
Come here on a Tuesday, it's FREE!! And I wouldn't bother much with the audioguide, but it's free too...so it doesn't really hurt. Bring some headphones if you don't want to hold it up to your ear all the time.
I'd recommend anyone visiting the Phoenix area to check this place out. Go go go!