I was in Phoenix a few months back and went through most of the stores there.Not sure how much time,transportation,or what your interests are, but i can tell you that you will waste a lot of that time and gas going over some pretty ugly and overpriced records.The one exception is Revolver records,they have a very nice store and the prices are fair and the condition tends to be on the better side.I found tons of good Classical records at 2 and 3 bucks each.Some unusual Jazz records very cheap.They have a good Rock section with some sleepers that you don't see everyday.In fact the lay out of the store and the care they have taken makes this one of the better record stores in the U.S.
They even have a buy 10 get one free card.The owners are very nice and friendly with no attitude.I went there twice and bought lots of records and could have bought more.
This is a new location,so make sure you call first and get directions.Going over my notes from that trip i believe that Tracks in Wax might also be worth a look,prices a little on the high side.Some decent Jazz.
A big part of record hunting is luck,hitting the store when they have bought a collection,talking to the people about things they might not yet have priced and trying to establish a rapport to negotiate prices.If you post your musical interests i might better comment on some of the other stores.Have fun!