Here are the shops I do business with in the local area. IMHO the Tinderbox is the best one followed by Ye Olde (who just moved into their new digs on 24th St.). I really can't help you on good places to smoke (Bars, restaurants, etc. as I live on the far west side of the Phoenix area). Hope this helps.
Tinderbox International (Paul Buza is the owner. Probably best "pipe" oriented store in Phoenix) Has a club you can join and areas in the main store for relaxing and smoking. On outer ring of Fiesta Mall off of Southern.
1457 W. Southern Ave. Suite 110
Mesa, Arizona 85202
tel: 480 644 9300
The next two stores are owned by the same guy, Rick Hopkins. They both give the Tinderbox a run for their money. They both have a smoking lounge.
Ye Olde Pipe & Tobacco Shoppe
4525 N. 24th St., Suite #110
Phoenix, AZ 85016
tel: 602 955 7740
Stag Tobacconist (located on outer ring of Metro Center Shopping Mall in same set of stores as ToysRUs. Off of Dunlap just west of I 17 freeway.)
9201 N. 29th Ave.
Phoenix, AZ 85051
tel: 602 943 8519
Small shop that will do in a pinch:
Ford and Haig (Small shop, bulks, some pipes, tins [kept in cigar humidor].
Fifth Avenue Shops
7070 Fifth Ave.
Scottsdale, AZ 85251
tel: 480 946 0608