Seeing as I am in Arizona, it really depends on the time of year.
Summer here is usually too hot to ride unless you leave early in the morning or late at night. During the summer, we actually enjoy going up north and doing the back road to Mormon Lake. There is also a ride that some of the people from my ATV website did up in the San Fransisco Peaks in Flagg.
During the remainder of the year, we do a lot of desert riding and usually end up at a restaurant that is not too far from our homes.
Seeing as this is my first SxS, I have yet to try it out in the dunes, so I imagine in October I will be trying it out!