I think the Phoenix area is much like other locations - availability of components is scarce. On the east side, you can check Bass Pro and Sportsman's Warehouse, but they are usually cleaned out. I've had reasonable luck with mail order. You can also check out the local gun shows. There's a couple in Mesa that come around every month or so. I found powder at one for about $25/lb. Primers at shows are very expensive, at least $60/1000.
