Bead World is the best bead store I've found in Phoenix.
First of all, they have a really great inventory, with new pieces, that actually help me keep up with "trends" versus going to say, Beads Galore, where everything seems about 10 years old.
Second, their prices are pretty decent. Sign up on their website and you'll get coupons for 40% off emailed to you.
Last, the staff nice and helpful. I like how they trust you and don't ask you to put your purse in a locker.