There's two places I know of. One is the above mentioned Empire Games in Mesa. It's on Greenfield Rd between the U.S. 60 and Baseline on the west side of the road. There's one of those goofy traffic lights in the middle before baseline that mediates the traffic coming out of the the two big shopping complexes on either side. It's by that light on the wal mart side.
http://www.empiregamesaz.com/
The shop I'm at most regularly is Gamer's Inn in Mesa. It's near the corner of Stapley and Southern next to a car audio shop. It's on the north side of the road east of the Southern/Stapley intersection. Not far from the light. Open 24 hours every day of the year.
http://www.gamersinnaz.com/
My car's currently broken (timing belt needs to be replaced) but if you wanna talk about setting up a game sometime email me
gaindair@hotmail.com. Any other AZ players can feel free to also. I might not be up and able to go out for a month or so till the car is fixed but hey, options for the future *smiley face*