Well, I'm here in Phoenix, and I know there are a few other guys in/near the area (I guess if you count the back 40 of Tuscon "near").
I haven't visited in a long time, but I came here to Phoenix via going to a school called "High Tech Institute", they are now called "Anthem College" and are on the corner (roughly - a little west of, actually) of Indian School and 16th Street. I don't know if they still offer the course I took in 1991-92 called "Computer Electronics", but that's where I got my start.
You could also contact the DeVry campus; they used to have a similar course (though more focused on the business end). There also used to be (not sure if they are still around) an ITT Tech School here. You also have the ASU campuses, as well as the various community colleges.
Just to let you know, I am 37 years old, and I am not really looking to mentor somebody, but if you need a pointer or something now and then, just post on these forums, and I will usually answer if I know something (sometimes even if I don't!) or PM me.
You can also contact me via my website (see my profile).
As far as parts are concerned - Radio Shack can be useful in a bind, but only if you have no other choice. Your best bet for "new parts needed now" would be to go to Fry's Electronics - there's one in Tempe, as well as one in North Phoenix (I-17 and Thunderbird, roughly).
If you can stand rummaging through old surplus (sometimes really old) parts, then Apache Reclamation and Electronics in South Phoenix is the best bet (I was introduced by my first instructor at HTI to ARE) - its on Apache and 3rd Street, roughly, one street north of the I-10 truck extension. If you've never been there, you have to go! They don't have a website, and it is really a "junkyard under a roof" as far as parts and stuff are concerned (they used to have an outside yard, but they moved it to a different location off of Lower Buckeye, IIRC - and it is only open weekdays, which is a bummer for me - I used to love rummaging thru their yard o' crap - you could find everything from old conveyor belts to industrial robots back there).
Another place (though I am not sure if they are open to the public anymore?) is someplace called "Equipment Exchange" - they are also located in South Phoenix (used to be 7th Street and Grant - but they've moved since then and I can't remember the location off the top of my head, though I did find it once). They tend more toward large equipment (think a wave soldering station - I once also found an old huge Unimate industrial robot there - it was the size of my Ranger!), though they do have some smaller stuff.
Online, locally (Scottsdale), there's the Electronic Goldmine:
http://www.goldmine-elec.com/
I am not sure if they have a real retail outlet - I've never checked. I've also never tried to order from them, but I haven't heard bad things about them - they are legit in my eyes, and have been around a long while. I just tend to get my surplus electronics (if not from ARE) from an LA distributor called All Electronics:
They've been around for nearly forever - they have fast shipping to the valley (I've seen 2-3 day turnaround); their prices also tend to be cheaper than the Goldmine, as well, for arguably the same product in many cases. But they have different items between them, so shop carefully.