Not all agaves are native to Arizona. Parry’s agave, Palmer’s agave, and desert agave are.
Agave’s can be inexpensive. Some make offsets constantly and you can get these “pups” for free from a neighbor. Others like the Queen Victoria agave and Twin-flowered agave don’t commonly do this and are therefore specimens you’ll have to buy.
All agaves die at the end of their life span, after flowering. So think of an agave as a semi-permanent addition. If you landscape with octopus agaves, which are relatively short-lived, you will need to replace them in about 5 years. Consider planting a couple of agaves every few years so they aren’t all on the way out at the same time.