Lets say 70°F is a comfortable temperature - roughly room temperature. I'd much, much rather have a winter be 40°F colder than that comfort level (30°F) than have a summer 40°F hotter than that comfort level (110°F). And I bet most people would agree with that statement.
So actually you are comparing a really cold temperature (MN) to a moderately hot temperature (AZ). I'd still say I'd rather have the cold winter. When it is bitterly cold, you are miserable for the 30 seconds it takes to walk to/from your car, but for the rest of the day you are just fine. When it is sweltering hot and get into your car you sweat. Thus for the rest of the day you are damp, smelly, and fell awful. Hmm 30 seconds of agony or 8 hours. I'll choose the 30 seconds any time.
hot summer = going to the beach and seeing beautiful women in bikinis
There are swimming pools (indoors and outdoors) that you can see that at any location hot or cold. PLus what happens when those things get cold? Sometimes that is nice to see too.