Plaza Liquors seconded. Also Beer Wine on Oracle and Limberlost, Bevmo, and the Beverage House on the eastside (Broadway and Pantano) have a decent selection.
Fine craft brews? My house out in Vail is good for that
Seriously though Thunder Canyon is probably the best in town. Nimbus can be good (the food at their Tanque Verde location is good) but lots of people complain about their consistency. Ben's is my old favorite from years at the U of A. BJ's is fine, but it isn't local so I feel strange recommending it.