My favorite gun store is Randalls Firearms at 51st ave and Olive. Small store but they are very friendly and usually have good prices, sometimes outstanding prices.
Also AZFirearms out by my house, Dysart and Western (just north of Buckeye). Prices are usually okay but he has some really cool stuff. A 20mm rifles, a Bazooka, several machine guns and old and off the wall stuff.
Ben Avery is my favorite range because it has a 200 yard range and its cheap. If you get into a club they do have everything from 25 yards to 1000 yards, a nice trap range and a bow range.
Scottsdale gun club is really nice indoor short range facility but its pricey.