Yeah, I was surprised to find out the W stood for winter and not weight..
anyways, thicker oil is not always better. You want oil that is the right thickness in the temperature range that it needs to run in.
20W-XX is going to be too thick for cold starts anywhere below freezing. If you live down south, or it's just a summer car, go for it. The second number is how thick the oil is at a high temperature, so 10W-30 and 10W-40 are about the same thickness when cold, but the 10W-40 doesn't thin out as much at high temps, so having a bigger range between the numbers is better in a way. BUT, the way they make the oil more stable across a greater temperature range is with additives. These additives are a trade off, because they make the oil less effective in general.
Picking the right oil depends on a lot of things: Climate, bearing clearances, driving style, how often it will be changed, etc.
My suggestion for you is in line with the others, go with 20W-50, since you're in AZ. I just changed from 10W-30 to 10W-40 in my truck and there was a ticking before when it was warm that is almost inaudible now. If your oil is too thick for cold starts, you will know it, because it will run loud as hell and be sluggish.
