The Tempe Zia is the best one around. The problem I have run into at its other locations is their inconsistency. Used CD's are cheap, but sometimes hard to track down. They have a good selection of posters and LP's, as well.
In a city without much in the way of independent music stores, Zia is a lifesaver. Trade in your old CD's for cash and keep your ear out for good local bands, too.