Depends on your definition in each direction. In theory, it's definitely better to be hot, since as long as you stay hydrated and in the shade, you shouldn't suffer any ill effects, where cold can totally screw you up.

But an eight-month summer in Phoenix can really get old. I've learned to appreciate the Phoenix winter while it lasts, knowing that 115 degrees is right around the corner. But I don't think I could deal with temperatures much below freezing.