The only shop in Tucson I\'ve been to is Hat\'s Games. They have a good sized gaming section, maybe 15 or 20 tables. Lots of people go there to game. I don\'t remember exactly where it is (I\'m from the East Valley), but it\'s a couple miles north of the I-10 after it turns more or less directly east-west)
There are one or two other shops there too, but I\'m not familiar with them.
I\'d recommend joining the forum at www.adeptusarizona.com
You can set up games with other people from your neck of the woods. Quite a few Tucson players post on there.
You can find information about all the stores in Arizona (hours, location, etc), as well as up-to-date event calendars for most of them.
-Matt