Despite the absolutely horrid name, I had a terrific food and wine experience at Cowboy Ciao in Scottsdale. While the name might evoke thoughts of bad western dinner theater, the place is very urban contemporary with a dynamite wine list. The list is a 100 page book that could use better organization, but spend some time with it and you will find some real gems. We found an '02 Kosta Browne "Kanzler" for $90. Menu pricing was reasonable as well.
Mary Elaine's at the Phoenician is a "special evening" place that is excellent. But it will set you back quite a bit.
Haven't been in several years, but we enjoyed a fine meal at T Cook's at the Royal Palms Hotel. I hear that it is still a fine option.
Here's a
link to an earlier thread.