San Felipe
Eh, depends on what you want to do. I've been there a couple times. Spent a week there several years ago. The kids were bored to tears. The wife and I also beach camped there for several days, and that wasn't too bad, except for the Mexicans that roll in and set up next to you, only to drink and party all night long. Shore fishing stinks. The beach literally stinks at low tide (smells like sewage). As Bahia said, tide goes way out because it is so shallow. There are some beautiful, unspoiled beaches south of town.
Virtually no place decent to launch a boat. I had a 23' ft. aluminum center console at the time and you had to launch and recover on the high tide (3 in the morning or whenever) or forget it. Damn near put the boat on the beach one day because you're launching and recovering directly into the ocean, no public harbor or protection from the wind at all. There is a harbor, but that's pretty much commercial (or was then). The long range fishing boats (Andrea Lynn, Tony Reyes, etc.) are docked and launch from there.
There is a small malecon with shops. A few decent restaurants. You can charter pangas off the malecon to take you fishing for cheap. They usually go out a few miles and fish an old shrimp boat wreck. We caught some large corvina and small sharks. On our own boat, we went out to Consag Rock fishing one day, didn't have very good luck, but it was a beautiful day on the water.
It's 75 miles directly across the water from Penasco, but I know of no ferry or boats that make the trip between the two. It's a lot longer of a drive from the Phoenix area than you imagine, virtually all day. We went across I-8 to Mexicali and crossed there, although I think you can cross at Yuma/San Luis as well. From Penasco, you could check out the new toll road to get over that way. The road on the Baja side through the old Colorado delta area (now just miles of salt flats) is pretty treacherous. One lane each way, no shoulders or pull-offs, steep 10-12 ft. drop to the salt flats below on either side. Maybe the road is better now, hard to know, I haven't been back since 1998.
Overall, it is much smaller and quieter than Penasco. There is a fair-sized resident American population. Like I said, all depends on what you're looking for as to whether or not you'll enjoy it. We did it one trip as a start for a 3 week beach camping trip down Baja. Started in San Felipe for a couple days, then took the road south through Puertocitos to Gonzaga Bay. The *REAL* Baja! Not a trip for the faint of heart by any means. Physically, Gonzaga is only 75 miles south of San Felipe. Plan on the trip to get there taking a minimum of 6-8 hours. Rugged road, lots of switchbacks, steep snakepaths along the edge of mountains with drop-offs into canyons below, washboard that will vibrate the fillings out of your teeth and rupture your kidneys. But absolutely beautiful as you drive down past the Enchanted Islands. This is one of the most remote and least inhabited areas of Baja. You even get to see some real boojum trees! When you finally get to Alphonsinas in Gonzaga, you know you've made the trip of a lifetime.