Few Black voters. White Arizonans voted* almost exactly the same way as white Americans as a whole, giving Bush 59% of the vote (he won 58% nationally). Latino Arizonans held suit, giving 43% to Bush (he won 44% nationally). And lest we forget, the electorate, both in Arizona and nationwide, is overwhelmingly white. Arizona's electorate was only 12% Latino - noticeably higher than the 8% nationwide but not enough to make a dramatic difference in election results.
What we are missing is black voters. Those voters cast 11% of the votes nationwide, but only 2% in Arizona. Since black voters vote nearly as a bloc (88% for John Kerry), we really miss out by not having them. Indeed, that deviation is nearly 20 times as influential as our higher-than-average Latino population.
The black vote was up in Arizona as well as nationwide in 2008 (13% and 4% respectively), but it's not like black people are flocking to Arizona. Latinos are, though. In 2008 their voting share only increased marginally nationwide (8% to 9%), but it surged from 12% to 16% in Arizona. However, Latinos (and whites) supported the "favorite son" McCain at higher rates than their racial compatriots nationally. Had they not done so, and instead matched their racial group nationally (like Arizonans did in 2004), Obama would have won Arizona 50%-48%. That still would have been 5 points worse than Obama's 7-point win nationally, but that's certainly better than 2004 in which we were 10 points worse than the country. The Latino-led shift is on.
* - all quoted polls numbers are from 2004