The Phoenix area is filled with great places to find records.
Zia Records - (5 locations in the Valley) The late Brad Singer started this "chain" which has locations across Arizona and in Vegas. An extremely large CD selection in each store is complimented with DVD's, VHS, Video games, etc as well as varying vinyl selections. Often times, the "good" records are snapped up by the employees (who are usually pretty friendly and most often fairly knowledgable) but they all seem to buy vinyl and the stock is ever changing. I usually have the best luck with the Chandler and Tempe locations but make it a habit to stop at all of them. Prices are usually $1.99 but sometimes a dollar or two more.
Stinkweeds - Kimber Lanning has run this true independent store for what seems like forever and it's always top notch. Not a huge selection of vinyl but you don't have to wade through junk either. A great selection of CD's too and there aren't many around who are as nice or who know as much as her about indie artists. I don't get to visit as often since the move to Camelback but always make sure I stop in when I'm in the neighborhood.
Wax and Trax - Located on Central Avenue in downtown and not far from Stinkweeds, an unbelievable selection of used vinyl from all genres. Prices are fair and staff is friendly. Main focus is on records, not an extensive CD selection.
Revolver - The newest entry into the market, this converted home is packed with records. An enormous selection (huge $1 bin as well!) covering all styles of music and a bin set up specifically to recently acquired records is quicjkly making this the place to go for vinyl. Decent prices, great selection and friendly staff. They also have CD's, DVD's, turntables, etc.
Rockzone - Former staffers from the legendary Rockaway Records have moved locations and set up a very nice store. Tons of vinyl from all era's as well as an extensive selection of 12"'s and collectables. Plenty of CD's, friendly staff.
Eastside - In the same Tempe location for years, practically next door to the Zia Tempe location, large selection of vinyl, great staff and excellent prices. Also carry CD's, DVD's, books, etc.
Memory Lane Records - Haven't been here in a number of years but keep meaning to. Last time I was there it was stuffed to the rafters with records but mostly 50's, 60's .
Record Show - Held every other month at the Italian American Club, a wide selection of dealers with most musical tastes covered (although leans toward the 1950's-70's), most of the sellers are very friendly and more than fair as far as pricing is concerned. The number of vendors varies each show but worth checking out!