I love Jerry's Artarama. It's a dimly-lit, cavernous, warehouse-like space filled with just about everything an artist's heart desires, at super competitive prices. Professional and student grade art supplies.
Fantastic selection of papers, the best I have seen in Arizona.
I always manage to fill up my cart when I come here.
Unfortunately for me it's too far for me to come here regularly, but it's a great resource for East Valley artists.