In no particular order:
AudioNut, like previous poster mentioned, they have a new location and lots more gear on display.
Esoteric Audio, the veteran in PHX area stores, great customer service.
Arizona Hi Fi, TUBES! and lots of them!
L&M Home Entertainment, a few months ago they had an ad in the Republic featuring those huge 4 tower MDL's, the Dali Megaliner, and the big McIntosh 4 tower system. I never did get down there to see if they actually had them all on display! On Sundays they have open hours, otherwise it's by appointment. I heard the Megaliners about a year ago, wonderful!
There is some new place up in Scottsdale, by the 101 and Scottsdale Road called Starpower. I haven't been there but a friend stopped there and told me to check it out "they have some gear that only you would recognize" he said. LOL
There was a place called Sounds Like Music, they closed, but my wife was told that they were going to open a new store soon. They had Levinson, and Linn, among others.
Hope you can stand the heat when your riding in the summer, watch your back though, they nail bikers with left turns around here.
Cheers!