I was in Phoenix for a few years, then recently moved to the DFW area. If you are in the northwest part of the PHX area (Glendale, Peoria), Get Serious Gym is pretty good. There are a few serious lifters who train there, and, if you pay for a year at a time, it's only $175 or so.
If you are in the Scottsdale/Tempe area, Thorbecke's Gym is a "key club" with old-timey equipment and some hardcore masters lifters. The HMFWIC, Brick Darrow, seems to be gone all the time, except during the early AM--maybe during the three-quarter phase of the moon....Getting someone to answer the phone is totally unpredictible.