I would have to say the Glendale, Cabela's is a must. The gun counter is over 100 feet long. And if you like high quality, you'll love the "Gun Library". If you are on the east side of town, (Mesa / Tempe), Bass Pro is worth a stop.
There are also 3 Sportsman's Warehouse's, (north, east, and west). The one by me on the west side just opened a couple of months ago, and has a large selection of guns of all types. Something for everyone. If you're in Scottsdale, the Scottsdale Gun Club is worth a stop. Not a lot of blued steel and Walnut, but a hell of a store where you can rent and shoot just about anything that goes bang. Including many full auto guns. Everything else is like most other mom and pop operations. Nice, but you'll never know what you will find. Their stock changes often.