If you have side by sides and looking for some places to ride up this way, you have some choices but pretty much everything is going to still be a bit of a drive from Scottsdale. If you haven't done it, the back way from Lake Pleasant to Crown King is great. With beer stops, its a couple hours up and a couple hours back with lunch and beers at the top. If you do this in Jeeps, it takes pretty much the entire day to get up there and most drive the road back.
For something less technical, you could run up to 4 peaks.. just want to play around, I hear Rolls OHV can be fun. A little further south and east, you can hit the Coke Ovens (or get close to them, think that area is fully closed now, but the trail is still open and fun).
The only spot kinda close is part of Tonto and that is kind of north east of Pinnacle Peak (looks like north of Rio Verde road on 136th place until it ends) but I have never been there myself, not sure how much of a trail system is back there.
Depending on the time of year, you can get up on the rim and there are a lot of trails and you can do some shooting there. Probably a bit of a trek to and from Scottsdale though.