Bear Arms in Scottsdale -- nicest and most knowledgeable people, my favorite. Not the cheapest, but great selection ( 1911s ! ).
Scottsdale Gun Center; Lone Wolf Trading Company ( Glendale) -- lowest Prices, decent selection!
Mandell's -- most expensive place in town. Sales people are friendly, but only if they happen to agree with you. Beware if you are trying to disagree!
Tourists love it there -- class III selection! That place is definitely unique. Underground range!
Arizona Sportsman: 2 or 3 locations. Nice stuff, great sales -- unfortunately always just sold last item that was on sale when I get there... hm. Rumors are they are struggling.
Shooters World: If you are a member you can buy 1 gun per year at (their) cost. Unfortunately their cost is a lot higher than Scottsdale Gun Center's retail price ( I just price checked on a SIG 220 ST). Bummer!
There are some others: G&S Gun Room in Apache Junction ( no sales tax). Pistol Parlor in Mesa. Legendary Arms ( nice place - lots of Colt SAA stuff - iif you're into antiques and Cowboy Action Shooting, you'll love it there ).
There are definitely a lot more gun stores in the valley - but those are the ones I can come up with right now. Also plenty of Pawn shops that double as FFL dealers ( but double check their prices, you don't want to buy something used for more money than some other place sells it for new).