The thing I like to do is walk around early in the morning with my camera and tripod. That way I can get some tourist free photos of the places I like to meander around at. I like the many art and craft stores around in the area. There is always a great deal of window shopping to do. Old town is a bit hectic but is also a must if you are up in the area. You can meet people from all over the world in that one small space.
I have the advantage of living pretty close so I can plan on what type of photo I'm going to take. I tend to make sure that I have my P&S with me when I go simply because it has incredible macro capabilities and there are a lot of macro photo possibilities here. My P&S also has HD movie capability and there is always a sound bite to capture anywhere you go. Oak Creek runs through Sedona so this is one place in Arizona where you can capture the sound of running water. I tend to pack my widest lens because of the great landscape possibilities. The thing is to enjoy what you find in Sedona as anywhere.
I enjoy going around the Tlaquepaque as it has sort of a old mission feel to it as well as having a slight Mediterranean feel to it as well. It is full of trees and fountains and has some very interesting stores to window shop. The windows have also very nice patterns and colours so that is an added plus. So if you get the opportunity to visit Sedona it isn't a place that one should just rush though in a couple hours. This area of Arizona is filled with much history and many beautiful sights.