There's a couple great local roasters here in Tucson:
Roaster X: This guy does coffee that will beat you up, take your wallet, steal your girlfriend, and slap your mother in the face with a wet fish... It's THAT bold, but, if you like dark roasts, this is coffee to drink. A number of shops around town use his coffee so it's easy to find and it is gooood stuff.
Adventure Organic: Awesome, awesome coffee...They have a huge variety of roasts and beans from all over the world; unfortunately they currently only sell by the pound (or half pound) at local farmers' markets, but they're usually roasting them fresh as the sell them, so its worth it to grind and make it yourself.