Teeming with people most nights, Phoenix Rock Gym offers quite a few walls for all levels of rock climbers... from beginners to seriously hard-core climbers. They're open till 10p.m. weeknights, which is fantastic for those of us who work. Everything can be rented there, from shoes (bring your own socks) to harnesses to even chalk bags (but if you're polite the employees are pretty nice about just throwing in a chalk bag for free).
My typical experience:
Wandering in with a buddy who has already been forewarned about my lack of ability at rock climbing. Roving from wall to wall, sometimes doing 5.6s to give myself an ego boost, sometimes doing 5.8s to push my body a little further. But about 2 hours later, sated by my exercise for the month. :). Hours later, sprawled on my bed, with at least one arm upon a homemade ice bag set on a chair. And thinking... "It was so worth it!"
I hope to one day update this review... and claim that I've climbed successfully 5.10s and 5.11s.