Being from Arizona, specifically the Phoenix metro area, I have an extreme bias toward Arizona Sunsets. It's the reason why our native sports teams have names like "The Phoenix Suns" or, in the instances of the Diamondbacks and Coyotes, their official jersey colors are awkward shades of Arizona-specific red.
The reason why they're so spectacular (which they are, and much more so in person) is decidedly less thrilling-- the colors of the sunsets come in large part from pollution.
Phoenix is situated in a valley and, without large quantities of naturally occurring carbon sinks, such as bodies of water or leafy trees, the pollution from the 5th largest city in America stays largely in the city: even the mountains surrounding the city keep the wind from moving the pollution out.
The beauty of the sunset stands in juxtaposition to the sunrise, since the pollution cools during the night and sinks to the ground, a literal brown cloud of smog rises visibly up from the city every morning only to descend brilliantly at the day's close. Though, in reality, its the awful sunrises that make the sunsets so wonderful.