Your air conditioner's main job is to remove heat from the home. Many homes have installed window screens to reduce the amount of searing heat brought into the home from the Arizona sun. While this greatly reduces the "solar gain", the home tends to be dark as a result of the screens, as such, lights are turned on throughout the home.
Lights produce heat, and a lot of it. If you can tolerate the pain, try touching your standard, or CFL (compact florescent light) 5 minutes after you turn them on. They are very effective heaters. Your air conditioner must remove that heat as well. Don't heat your home while you are cooling it.
LED's provide excellent light, use little energy, produce very little heat, and last longer than traditional or CFL bulbs. LED's are the best option available.