HOA'S are only mandatory if you have property that is included in a building or buildings shared by other owners such as condos,hotel rooms.
AZ Governor Jan Brewer and her husband challenged Las Conchas HOA in Mexican Federal court in Hermosillo and the ruling was in favor of AZ Governor Brewer. The ruling was that you do not have to belong to an HOA as reported in the Phoenix Business Journal.
So, you can if you want to, but it is optional and not mandatory.