Dry, and hot! For many, these two words sum up the climate of the southwestern United States. The region's low deserts experience searing heat and desiccating winds in the early summer while, in contrast, the forested mountains and plateaus endure biting cold and drifting snow in the heart of winter. The Southwest may be drenched by torrential monsoon thunderstorms in July and August, yet it can warm gently under fair skies from fall to spring. Records of temperature and precipitation change span time scales shorter than seasons and longer than millennia. Droughts and floods that would make headlines elsewhere are almost routine in the Southwest. Variability is therefore the norm, and climate is always fluctuating within this region. How do we explain the complex climate of the Southwest? How has it changed over time, and what might we expect of future climate? In this paper we aim to answer these and related questions to produce an account of the current state of knowledge of natural climate variability in the Southwest. Specifically: What is our understanding of climate variability in the Southwest on seasonal to inter-decadal time scales and what are the sources of this variability? What are the major patterns or types of variability evident from the instrumental record and natural archives such as tree rings, in terms of extremes, drifts in mean, trends or periodic and quasi periodic features? How typical has the instrumental period (i.e., the 20th century) been in the context of these patterns from natural archives?