The Lost Dutchman Mine is still out there in the Superstition Mountains. Though not tied to piracy (that we know of), it is one of the most famous lost treasures in America. It’s misnamed for a German who reportedly discovered an immensely rich gold mine in the Superstitions in the late 19th century. Many have tried to find it, and some say it’s cursed or defended by secretive guardians.
If you’re not feeling quite that ambitious, you could try geocaching. The popular hobby centers on sealed containers buried all over the world, hunted by GPS-toting outdoors enthusiasts who want to see what others have left behind and contribute to the hidden caches. Wide World Maps and More has stores in Mesa, Scottsdale and Phoenix with all the tools and books you need to get started.