Settings -> Mail, Contacts, and Calendar -> Time Zone Support (bottom of the page)
This article may or may not clear this up:
http://support.apple.com/kb/HT4504
Basically, from what I gathered, if you enable this and set it to the time zone you want, then all events viewed or created in the calendar will go by that time zone instead of the time zone you're in. That way, you can set it to Illinois time to make your events always go by that time instead of Arizona.
I don't think there's anything you can do about the events you already created, though, other than fixing each of them.