I am moving from New York to Arizona due to job transfer. I have lots of furniture (dining table, sofa, bed, tables, chairs etc) and TV and other electronics goods. I recently bought these things. I need suggestion how to move these things from New York to Arizona. U-Haul may be good for short distance. But I can not drive U-Haul from NY to AZ and furniture are too big which I can not carry myself.

I need suggestion from sajha friends. 

Why don't you try moving company. They will pack and move your stuff from your place in NY to AZ. You might have to pay more but it's worth it. Here are some in NY area

www.flatrate.com
www.alphamoving.com
www.guaranteedpricemoving.com
www..movers.com

Good luck and have a safe journey.

mv \NYC \AZ

 There are so many companies that transfer you items and cars. Google it.
A friend of mine moved from Texas to Seattle, cost him around $4500 to move all beds/furniture/TV etc plus his 2 cars.

Couple of suggestions:
First, I would ask the new employer if they provide moving expenses depending on the answer you can better budget how you want to move your stuff.(like moving it yourself or hiring a moving companY).
Check in google, there are many companies that will give you free quote to move stuff. example www.allied.com. 
You can use pods (storage box), they deliver to your house, you fill it and they pick it and ship it. Try upack.com
I am assuming that you are not contemplating driving a U-haul, but if you do I would rent the truck from Penske or Budget NOT U-haul. 
If you plan to move back to NY in 1-2 years then you also rent a storage in NY, and leave it there for that period of time, but just taking the essentials.
To move cars you can use https://www.autotransportdirect.com/, they were pretty reasonable.
I moved from WI to GA, but I drove a Penske truck and used autotransportdirect to move my cars(2). 
Good luck.

Ketama: You wrote about renting storage in NY. R there any common companies to provide these services?

How much do they cost? Do you have any idea?

Do you have any link of them? 

Thanks in advance

I don't have any idea for NY, but I would try u-haul, I know they provide storage facilities. Plus if look at the yellow pages in your area, it should give you more storage companies and options, google should also help. I rented on room(U-haul) a while back for $120 per month in WI. But the cost of storage will depend what amenities you want or the company provides. If the storage is temperature controlled and better security(w/cameras) then it costs more compared to one with just gates in storage compound.

Usually your best bet will be to locate a moving company I used this website that helped me find a cheap option, here is the website http://www.cheapmovingcompanies.co/
I have also had good experiences with a transport company that can help with everything. They have not let me down yet and I have had bad experiences in the past.
https://www.a1autotransport.com