I did that trip in January 2007... from Chicago to Yuma on 21/421. It was a great trip, but beware of the station in Yuma. It's safe, but there is actually NO station there. The 'station' is actually a UP freight office which Amtrak passengers are not allowed in. Also, when we arrived... there were no cabs waiting. Yuma was a lot smaller than we thought. Luckily, someone else was getting off in Yuma and had the number of their Yellow Cab service and we were able to call a cab to come and get us. We took it to the airport and rented a car from Hertz with no problem at all... very quick in-and-out of the car rental place at the airport.
Just make sure you carry a cab company's number and a cell phone with you and you'll be prepared.