These are the places I frequent in Arizona for cosplay supplies. I have left the big name stores such as Joann's off the list because you really don't need me to tell you those exist.  If there is an AZ shop (especially in areas outside of Phoenix) that I don't have on here please let me know so I can check it out!

Reynold's Advanced Materials

This is our local Smooth-On supplier and has everything you need for moldmaking, casting, sculpting and even some special effects and prosthetics makeup supplies. The staff is always super helpful, love the cosplay community, and they offer lots of workshops! Their hours can be a bit hard to deal with since they aren't open weekends, so I normally get up early and get resin instead of coffee in the morning. 

Easley's Fun Shop

My go to spot for theatrical and special effects makeup, their staff is great about explaining techniques and testing out products with you, as well as being enthusiastic about costumes. They also have a selection of wigs that are good quality for cosplay, they are more pricey than the equivalent online, but can work on short notice. They also have a good selection of gloves tights and other accessories. Their hours and downtown location makes this a bit of a trek for me, but I always come away with everything I need. 

Hollywood Beauty Wigs

Sort of hidden away, but a great spot for extension hair and wig supplies on the cheap. I haven't tried any of their wigs, but they have a decent selection of natural colored and a few party colored wigs as well. 

United Beauty Supply

Wigs, extensions and general beauty supplies. There is more in store than on their website that is useful for cosplay. 

Groovy Ghoulies (Bubbles of Joy) 

A more basic selection of theatrical and special effects makeup than Easley's but I find their location far easier to get to. I haven't explored much else here, but they do have some gloves, tights and other accessories that would be useful for cosplay. The staff is great here as well. 

SAS Fabrics

My number one set of fabric stores in town. They are very different than the big box stores, but there are deals to be had and a much wider selection. Each location is a bit different so be sure to check them each out to get a feel of their offerings. The Tempe location is great for dancewear fabrics, wool and gabardine. The Indian School store is great for findings, leather bits and apparel fabrics, and the 19th Ave store is a bit more organized, has a larger selection of trims, large leather pieces and vinyl. I like to make a day of it and hit all three locations. They also have a Tuscon location that I have not checked out yet. 

Professional Plastics

I find plastic sheets are much easier and cheaper to find locally than to get shipped in. Professional plastics has expanded PVC sheets which are basically off-brand sintra which is light years cheaper to just go pick up. I always call before heading there so my order is ready to go when I get there.

Industrial Metal Supply

I have to admit I used this a lot more in college, but if you need aluminum, steel, brass or copper sheets and various other shapes this is the place to go. They even have a section of smaller cuts of pieces for arts and crafts use that I find is great for most cosplay needs. 

Lonnie's

Another of my college haunts, this is the local jewelry supply place that doesn't require a wholesale account. Great for beads, gems and other bits for cosplay, as well as precious metal sheets and metalworking tools. I love my jeweler's saw for cutting out intricate bits in sintra. 

Mesa Sales

A huge fabric store focusing mostly on upholstery and interior decorating fabric, it can be a good place to look for leathers, trims, notions, foam and heavyweight fabrics. There are also loads of fabrics they can order in for you. 

Dick Blick

Art supplies of a higher quality than Michael's, as well as a good selection of mold making, casting and sculpting supplies. 

Arizona Art Supply

More high quality art supplies, with several locations so it is easy to get to. 

Creative Home Fabrics

Another home decor fabric store, great for getting trims and less overwhelming than Mesa sales.