Being in Arizona, you are close to areas where you can give this a try. Just go up to Flag and then pick a cinder cone near Sunset Crater and go for it. Even the Painted Desert north of Cameron on the Chinlie formations, you can slide down these hills.
Hm... maybe I should grab a $30 POS used snowboard and give it a try.... I'm pretty sure I'd hurt myself on the cinders, but that's half the fun, right?