I am a big fan of Milano's. In 1975, I traveled to Milano's to get my first horn and got a great deal on a trombone that had been a window display and had some fading. I lived about 3 hours away then. Now I live in W Phoenix, and it's still where I go to buy music (typically materials for students and classes I teach). Their music selection is beyond extensive.
They definitely have the best selection of wind instruments - more models and brands than anyone I know of. Not to mention accessories (l bought an Eastman Case I really like from there).
The one shortfall I find is with electronics - I find I go elsewhere for my sound and lighting equipment as the selection seems to be minimal.
Probably the best independant store I've been to west of the Mississippi.