THE J&G Sales is in Prescott, 1 hour north of Phoenix! That's a must. That will be C&R heaven, well, and everything else heaven. You have seen there website i'm sure ?
Pistol Parlour in Mesa isn't very big, but what an awesome shop it is. Great prices, great selection. Mom and Pop shop with prices that frequently bury bigger outfits. Not always, but often. Not sure how they do it. Staff has a lot of charisma so be prepared
Scottsdale Gun Club is a gorgeous facility. Now, i have to take issue with the blanket assessment of overpriced. Yes, some things are grossly overpriced, But, some of their prices DESTROY everyone elses value-wise, and they frequently buy large lots of items and clear them out for cheap. I've seen police turn-in Glocks going for 330$ there before. Some of it is overpriced, but much of it is definitely not. There is also a place next to Scottsdale Gun Club that I haven't stopped into, might be worth looking into. Rent yourself a tommy gun or one of many other nfa toys at scottsdale gun club
Of course we have Bass Pro, Cabelas and all that stuff.
I quit shooting in the desert because of all the weirdos and the reports of robberies/attempts, so I'm not sure if my spots exist anymore. As usual, scumbags ruin many of the pull-off spots.
I'm sure other Arizona boys here can chime in.