I'm new here and was looking for a cake supply store in AZ as well... I saw this thread and saw that Bake Me a Cake hadn't been mentioned... They are a relatively new store and have a great selection of supplies and will custom order anything that they don't have in stock. The best part, though, is that I don't have to drive all the way downtown any more.
They are in Goodyear off of I-10 and Estrella, in case anyone wants to check them out.
Luckily, the East Valley has a new supply shop as well. Phoenix Cake Company in Gilbert recently started carrying supplies, fondant, dusts, tools, boards, boxes, etc. They are off Gilbert Rd/ Baseline Rd in Gilbert.