The only "all" Magic Shop in Phoenix (actually Scottsdale) is Presto Magic Studio, which is owned by Barry Schor. Barry is great to deal with and specializes in a lot of used and collectible magic.
Here is his website: http://www.prestomagicstudio.com
His store is closed on Sundays and Mondays. I have known Barry since I started Magic back in High School 20 years ago, and he has been a good friend and resource.
Easley's Fun Shop specializes in costumes and other party supplies, but has a section in the store for Magic. I have not been in there for at least 5-6 years since it wasn't enough to justify the trip.
There used to be another magic shop in northwest Phoenix, but it closed about a year ago.
Finally, if you are going down to Tucson (a 2 hour drive south of Phoenix), I would suggest a visit Williams Magic Shop. I have not been there since my college days (since I was a Wildcat), but it is the only shop in Tucson.