I am a Phoenix/Glendale native and have grown up on many of the different mexican bakeries over the past 50 years or so here in the valley.
Our family has always kept the bakery items as a special occasional treat and we have not found any that are as good as La Purisima...we used to go to the one in Glendale...but then moved to the east valley and only got these little treats on the rare occasion we would be in Glendale...then we found the one in Phoenix! Still far, but we will sometimes make a trip just for the pastries (pan de huevo). I am hispanic and love their tamales---(very good masa) and they have good tortillas as well. I could continue to rave on this place forever....well worth the trip!! Only downfall is CASH ONLY---but it's understandable during these tough times.
Update July 2012--the bakery is now called La Promesa--still as good--and they take credit cards now!
Update--Name has been changed back to La Purisima and they are on a cash only system again. Still same great quality. Just bought my masa for our annual tamales from them again.