Please tread lightly as this is Tohono O'Odham land. There is no policy against climbing and let's keep it that way. Climbing is not forbidden here, but it's not encouraged, either.
There are several beautiful, tall granite walls, though approaches can be unpleasant, to say the least (no trail & bushwhacking through copious amounts of evil, thorny plants). A large portion of routes here were put up 30+ years ago and haven't seen much traffic. Therefore, pins, etc. may not still be around, so be aware.
From Tucson: head west on Ajo Way/Hwy 86 toward the mountain with the big white things on top. After about 50 miles, turn left onto Hwy 386 (there is a big sign directing you to Kitt Peak) and head on up. Climbing areas are before the Visitor Center.