My favorite shop is Hobby Depot on Southern Ave. and Mill Ave. in Tempe. They have alot of stuff in stock but what I really like is that they cary alot of building, AM and finishing supplies.
There's a store over on Elliot Rd. and Val Vista Dr. but I don't recall its name. There is a store called Hobbytown USA over on Gilbert Rd. and Baseline Rd but they got rid of their plastic model stuff and are mostly RC now.