State run liquor stores aren't usually any good. I know, I used to live in Idaho where they had them. But they can sometimes be beneficial if you're looking for an elusive bottle of spirits. Often some of the distillers don't have distributors of their liquor in fairly open states like Arizona, but sometimes a state run liquor store can order you just about anything. Or at least that's what I've heard.
And most places I've found online that you can order from, won't ship to cetain states...Arizona being one of them. Or if I can find a place that sells it in Arizona, it'll be up in Phoenix which is 120 miles from here. I'm a big bourbon fan, but even the best liquor store in Tucson only has at most 6 or so different top shelf bourbons. If I want something like Van Winkle or George T Stagg, it's going to be tough to get.