1) Hiking with kids.
For a hike with your 4-5 year old kid you can go to (links to trail maps and more information):
1) Rio Salado Habitat Restoration Area with many paved trails suitable for a hike with a stroller.
2) The short, paved Penny Howe Trail (Trail #40) on the North Mountain is ideal for kids and people with strollers.
3) Piestewa Peak Area Nature Trail (#304) offers great family hiking.
4) Papago Park has several easy trails for family hike.
These parks don't have playgrounds but do have scenic nature trails, so you and your kid can get quite a good workout. You can find a park near you at the map below.
More information about parks in the Valley you can find using links below:
Scottsdale park you can find here: http://www.scottsdaleaz.gov/parks/findapark
The Phoenix Zoo is a great place to visit with kids. You have to pay to enter -$18 for adult, $9 for kids 3-12 years old, free for kids 2 and under. (Basic membership that includes unlimited FREE daytime admission to the Zoo for one year is 50$ per year for one adult plus $15 per each kid 3-18 years old, but it's totally worth it.).
Cannot afford to pay? Check Phoenix public libraries for a free "culture pass"!