Yes to Sedona and Moab/Arches - LOVED Arches!!! We were there in late April and it was great - not too hot yet. My brother has been in March and had a fair bit of rain, but it wasn't too cold, and I have a friend who visited in October and had good weather. I think Sedona is nice any time from October-April, maybe even into May, but it'll start to get warm the closer you get to summer. (That's also going to be true of Grand Canyon and Monument Valley.)
It's all desert, so the humidity is LOW.
Arches is a must-see in Moab - you can easily spend a couple of days (or longer!) there. If you enjoy hiking, the sunset hike to Delicate Arch is really nice, and I recommend signing up at the Visitor Center for the "Fiery Furnace" ranger-led hike - they'll take you into an area where most people can't go. The "Islands in the Sky" part of Canyonlands Nat'l Park is scenic, and not too far away from Moab - an easy day trip. There's also lots of mountain biking available out of Moab, as well as river rafting.
Red Rock Canyon and "Slick Rock" are must-sees in Sedona. Lots of other hiking in that area, too.