Jerry's used to have an ashtray every five feet down the counter - place reeked of smoke. Don't know what he does to stay in business. Are the best guns in there still not for sale? Haven't been in for years.
Lock and Load on Campbell is a little strange, but with some interesting oddball stuff.
Bounce back from Jensens East range is not quite that bad - I worked there for about a year and a half. However, I did catch a 38 wadcutter in the groin while RO'ing a bowling pin match - no permanent damage, thank Heaven!
Now, if you have the time, take Ajo way out west past Three Points, and go to the Tucson Rifle Club. I worked there for a couple of months, and that is an awesome outdoor range. Memberships aren't very expensive, and there is a 500 meter silohuette range, a 100 yard sight in, 100 yard public, 22 range, pistol, (with some poppers already on it), DPS range, 7 bay cowbay action range, and a 1000 yard rifle range. Whole place is over a mile wide, butted up against the mountains.
Desert Trails Gun Club down on the southeast side is interesting, in that the berms are made of condemned concrete castings from the abandonded concrete factory across the road. Pistol and 100 yard rifle.
I agree with West O the Pecos being the best little gun shop - interestingly enough, it is a few doors down from the highest price one, Jensens' East. Go to J-Mart and look, wander down to West o the Pecos, talk to Big Dave, and order. I like him so much, he was invitied to my wedding!