Sports Chalet is the most complete sporting goods and outdoor store I have ever seen. They have a vast selection of sports equipment and exercise gear. Their Mountain Shop has a very good selection of climbing and camping gear. Although the gear section is not as extensive as REI, the prices are slightly better. And they do SCUBA.
I took my PADI course through a dive shop before I found out about Sport's Chalet's prices. They are FAR less expensive than any dive shop in the valley when it comes to the PADI open water certification courses and dives. The dive instructor at the Tempe store, Dan, leads the dive classes and is highly competent. (I give the dive program five stars).