Oh, we have some really great ones - most of my faves are a bit of a drive, but.... Bach's Greenhouse Cactus Nursery, Desert Survivors are down in Tucson, so that's about 2.5 hours out, but worth it to see friends, too. Bakers Nursery closer to downtown Phoenix carries a lot of your more typical stuff along with the occasional really cool find, and that's my mainstay. I will stop at the "dead and dying" racks if I'm in Lowes looking for something else, but that's my limit.
Usually I get a lot from the our twice-yearly sale at the Desert Botanical Gardens. A little pricier, but you can find some really beautiful stuff that's not always available locally and it is for a good cause. And the Cactus and Succulent Society has their show and sale, coming up this week, woo hoo!!!