I really loved Wickenburg, a small cowboy town that deserves a stop. There is now a bypass so you can go straight past it without going through the town, or you can turn off and explore. There are some great places to eat, great shops with amazing art or cowboy supplies and an interesting museum.
There are also some reserves near Wickenburg which are worth stopping at too if you want a walk, I haven't done many but vulture mine is meant to be lovely.
I think that if you are going from Scottsdale to Sedona it is well worth going through Wickenburg and Jerome, much more interesting than straight highway the other route.