I was living in Georgia when CNN's building in downtown was hit by a tornado. They're not nearly as bad as in the midwest, but they certainly happen. Mind you, it's a perfectly reasonable place to build up, but the likelihood of getting killed in a tornado over the past 100 years looks to be worse than the likelihood of dying in an earthquake in California over the past 100 years (slightly lower numbers from what I could gather, but dramatically lower population).

Phoenix (and Albuquerque but I'm less familiar with the specifics) is in the desert; both the water it gets and the ambient temperature are getting worse due to climate change. There are already legal fights over water rights in the greater Phoenix area, and it's just going to get worse. That is not a place to be building up.