I have been a Penzey's Spice fan for years and I usually order from their catalog being that I am in Flagstaff. But their Phoenix store is a must stop whenever I am in the Valley. They have virtually everything that the catalog offers. It's a wonderful store with fantastic staff. There are so many Penzey Spice favorites of mine that it's difficult to narrow down any specifics.
The Brady Street Cheese Sprinkle is a must have for any kitchen/table..it goes on virtually everything (pizza, mashed potatoes, salads), I also highly recommend their Herbs de Provence as it is a staple mix of flavorful and savory herbs for a myriad of dishes. Their curries are ALL fantastic! Finally I very much so recommend Penzey's vanilla beans as they trump Williams-Sonoma's in size and value.
Penzey's prices are very surprising; incredibly economical for the extremely high quality of their products. Hit this store and stock up on some good spices and taste the difference in the food your prepare. Quality of spice truly makes the heart of every dish.
Happy eats!