I have been to Sun Devil Liquors twice since moving here to Arizona, and have been impressed each time.
Every Thursday they have an amazing $5.00 wine tasting event that consist of trying 5 different types of amazing wines. Sun Devil Liquors is an amazing family owned wine, spirits, and beer store (with extensive products in each category), and a wine and beer bar downstairs.
The only draw back is that they do not serve food, but they will allow your to bring your food into their establishment to then enjoy their Thursday Wine Tasting and Friday Beer Tasting events. There is also live entertainment by an amazing local artists who plays smooth jazz related tunes, which pairs really well with the lush wine!!
Bring a Designated Driver, because the wine expert always has a heavy pour and you will end up getting much more than a taste of the 5 amazing wines that will be picked for the evening, once again for only $5.00!!