Jeez, I sincerely hope there aren't any weird rules about transporting pythons across the AZ/CA border. Several of my females come from CA, and I've sold a pied and a cinny to CA buyers this year.
What BPelizabeth said about desert tortoises: in both Maricopa and Pima counties you're only supposed to have one captive tortoise per property, and it's supposed to be registered. You're never supposed to breed them, and you're never supposed to reintroduce them into the wild, because they could have picked up non-native parasites brought over by European and African imports. (Also, in Phoenix, a lot of the tortoise are desert/California hybrids, so aren't strictly native.)
People break all of these rules, of course: I know Tucsonans who have had their (mated) pair of desert tortoises in the family for generations, and they never even knew these laws existed. They found out when they found a bunch baby tortoises bopping around their yard and did a google search on husbandry.
There are all sorts of rules about capturing and keeping native animals. I've really only looked into tortoise and arizona green rat snakes, because those are the ones I've thought about keeping. Most of the rules are about protection of the native population.