Not retiring trips, but my wife & my parents did a 1wk vacation last June in Scottsdale, this July in Palm Desert. Both were hot, and I assume yearly weather is about the same.
Other than that, sort of as others have inferred, I'm sure sure the two places are really comparable. Phoenix area is like 5th largest city in the US (tends to bounce back and forth with my home city, Philadelphia). It's a big city (growth is mainly by annexing neighboring towns), and has a full complement of sports: hockey, football, basketball, and baseball. They also have some Indian casinos. It's probably a major stop on concert tours.
Palm Springs basically is none of that. It's main claim to fame is that it's probably the escape destination from another main city, Los Angeles. PS also has some Indian casinos, and they can draw some entertainment. But for major entertainment, you'll probably need to drive 2+hrs west to the LA area.
I would tend to think PS might be more expensive housing wise, though if you "step down" to Cathedral City or Indio, it's probably more affordable.
If you want more of a laid back lifestyle, I'd think PS is a better choice. If you want a less expensive place, particularly if you or family will be flying in, Phoenix is definitely better (on our recent PS trip, we flew into PHX because it was so much cheaper than PSP).
Jeff