If you decide to drive from Vegas to Phoenix, then I would definitely shoot over to the Grand Canyon.
As for the rest of the time you are in Phoenix it really depends on what you like to do. The whole state has different things to offer so again, when traveling from Vegas to Phoenix there is a lot on the way i.e. Wineries, Sedona, Snow skiing (not sure if this will be an option in the March time frame, I'm not really a skiier so I don't know when they pack up shop for the summer in the mountains).
In the Phoenix area it is like most other major cities, all pro sports are available, and March is spring training baseball which is pretty big here. I highly recommend going to a game if you are in the area.
There is also plenty of golf, but that time of year will be stupid expensive.
You could do some hiking, i.e. Camelback Mountain or South Mountain, just bring plenty of water lots of people need to be rescued off the mountain that time of year because they underestimate the dry climate.
If you are looking for nightlife, there is Mill Avenue in Tempe which is more college aged oriented, or Scottsdale which is more "be seen/dress up/dance music" style nightlife. Westgate in Glendale can be fun if there is an event going on. This is where the Cardinals and Coyotes play.
Anyway, if you think of something a little more specific you want to do, let us know.