You would be going west
Traveling from Phoenix, Arizona to Sacramento, California you would be traveling northwest.
you would be going north and to the west
It depends on where you are in California and where you're going in Arizona. But as they share a border, it can be as short as a step: you're in California, then--one step later--you're in Arizona. Also, if you are going from TUCSON to Orange County, it would be about, 491 miles.
California, New Mexico, Texas, and Arizona
Yes, Nebraska, Colorado, Arizona, California
SouthWest
Would you pass or go through? To drive from Texas to Southern California, you typically drive through New Mexico, Arizona. If you're going to Northern California, You might have to drive through Nevada and/or Utah and/or Colorado, depending on the road.
Depending on where you are starting from in California and where you are going in New Mexico, you would travel east or southeast.
you would be going southeast
From Sacramento to Phoenix is more or less southeast. However, traveling by car you would have to take an L-shaped route: south to Los Angeles and then east from there to Phoenix. There are no direct routes across the intervening mountains.* Note that this question was reversed. See the related question below.
west
Depends on how you go and how long you are going to stay.