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It looks like a cornflower. I don't think they are native to the southwest, but I think they are common in winter gardens in the Phoenix area. We even had some in our garden in Tempe, AZ (until it got too hot for them)!
It's hard to tell from the picture but if the flowers are purple, my guess would be it's a scorpion weed.
Yikes, that's cute!
I'll check those suggestions out. A likely candidate is a [youngish?] cactus wren (Campylorhynchus brunneicapillus)
About one and a half inches from head to tail