Pepper Palace in Scottsdale Fashion Square is awesome! It's the only place I know of that you can sample hot sauces before buying them, which is much better than simply taking your chances based on the graphics of a particular bottle.
There are many different brands and heat levels to choose from, including spicy snacks like peanuts, cotton candy, mushrooms and beef jerky - Da Bomb peanuts are extreme!
The staff is always friendly and helpful, with a lot of knowledge of sauces and heat levels. I would recomend this place to anyone who enjoys spicy foods, and there are even some mild sauces, but I haven't tried those.
Sample some of the extreme hot sauces and get your picture posted on the Wall of Flame Survivors! Love this place!