Phoenix has no passenger train service. At all. The nearest station is in Maricopa, and there is no regular bus line there. So if you're used to traveling by train, you'll hate Phoenix.
The light rail system is under construction and has not been implemented yet -- this should improve things around downtown and near Arizona State University.
Due to the sprawl (Google map Phoenix sometime, you'll be shocked) it takes hours to get anywhere by bus. Buses usually run every half hour, so if you happen to just miss a transfer, you have to wait. Traffic, especially on the freeways, can be bad, and since everyone here is from somewhere else, you can't count on consistent road behavior. Since buses use the same lanes as regular traffic, you can't rely on schedules for timely transfers, as they may quite late! Also, there is limited service on weekends; some suburbs refuse to operate bus service, or much anything else on Sundays, such as Mesa.
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On the other hand, flying domestically from Phoenix, virtually anywhere in the United States, is still much cheaper and easier per mile (even after 9-11) than flying in Japan. Of course, the distances are much greater, but it is nice to be able to fly to anywhere in Southern California for less than $100 in most cases (as opposed to, for example, Haneda-Hiroshima, same distance, $256). Of course, this is generally equaled by the Shinkansen, where the basic fare from Tokyo to Hiroshima on the Nozomi is ¥11340, and the reserved seat fares are cheaper.
Standard adult fare on a Greyhound bus from Phoenix to Los Angeles is a mere $44, but as they say, "You get what you pay for."
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Cheaper to visit my folks in Kona from here, too, though that's to be expected.
$625 Phoenix - Los Angeles - Kona
$1417 Narita - Honolulu - Kona (China Airlines, Aloha Airlines)
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Less cheaply, we have nonstop flights to:
*seasonal
US outside Lower 48: Anchorage, Honolulu, Kahului, Kona, Lihue
Canada: Calgary, *Edmonton, Toronto, Vancouver, *Winnipeg
Costa Rica: San Jose
Mexico: Acapulco, Cancún, Guadalajara, Guaymas, Hermosillo, Ixtapa/Zihuatanejo, Los Cabos, Manzanillo, Mazatlan, Mexico City, Puerto Vallarta
UK: London-Heathrow
(Interestingly, a lot of major Mexican cities are closer to Phoenix than to Mexico City!)
So - ground transportation in Japan is almost incomparably better.
Air transportation in the United States is better, but necessarily so because our train network has to cover far too much ground for it to be effective in the modern era. (Imagine the cost of laying down 100 times as much distance of Shinkansen to cover only twice the population of Japan ... doesn't sound like such a good idea anymore, does it?)