A hike in the Grand Canyon is not for first-timers, but strolling a fairly level trail at Lost Dutchman State Park might do. Find out what the rules are on the lands you've chosen to visit. For example, hikers are technically required to have a permit on state trust land. Take into account things like altitude, temperature and weather extremes. Take storm gear, a jacket and a hat in case the skies open.
Water is the big one here.
Even in winter months, hikers require lots of fluids to avoid dehydration. Other items that come in handy include moleskin for blisters, a knife, snacks, extra clothing, a hat and walking stick. Try not to hike alone. Take a friend along and tell someone else of your plans. That way, if you end up taking a wrong turn, someone will know to alert authorities.