There's 3 shops in Tucson -
The Dive Shop
http://www.desertdivers.com/
Planet Scuba - Home
NAUI shops in Arizona:
ProTech Scuba LLC
Inland Water Divers Adventure Scuba Diving Serving Metro Phoenix Arizona USA
Most diving from Tucson is done somewhere else. Either Lake Pleasant north of Phoenix, San Carlos MX, Rocky Point MX, or San Diego. San Diego is good cold water diving, there's the Kelp forests off La Jolla, Wreck Alley and Los Coronados Islands nearby in Mexico. Also good shore diving at La Jolla Cove and other nearby sites.
http://www.divebums.com/
The Guadalupe Island Great White trips leave from San Diego or via shuttle across the border in Ensenada but are cage/surface supplied air only. Also the Channel Islands off Los Angeles of which Catalina is probably the best known to divers.
California Dive Boats : The Official Page
People also dive Lakes Mead, Mohave and Havasu on the AZ/CA border and Saguaro, Canyon and Roosevelt Lakes east of Phoenix. All the Arizona lakes are typically cold all year - they're fed by some tributary of the Colorado River. Saguaro, Canyon, Roosevelt and Havasu can be cloudy - often there's a lot of boat traffic also.
San Carlos (near Guaymas) is popular - in the summer the water is 80+, winter drops to high 50's. Desert Divers has a boat there and there's about 4-5 other local dive operations. There's a seal/sea lion colony off San Pedro Island nearby, a submarine canyon just south of it so we often see larger pelagics, whales, sharks etc. Around the island are puffers, octopus, stingrays, Cortez angelfish, etc. Scalloped Hammerheads school pre-migration there in October, many shops/divers go down for that.
San Carlos, Sonora, Mexico Diving
Rocky Point and nearby Himalya Bay are closer options also but the tidal exchange in the north Sea of Cortez often makes viz less optimal.
Part of the year the Rocio Del Mar liveaboard leaves from Rocky Point and dives the Midriff Islands in the Sea of Cortez. It's a very nice boat - newer and built to be a dive boat.
Rocio Del Mar Liveaboard
In addition to Scubaboard, there's an Arizona dive forum:
Arizona Scuba - the header picture is Lake Pleasant afaik.
One other thing people don't realize is that Hawaii is very accessible from Phoenix. USAirways has their hub here and other carriers compete on price and service. There's even several non-stop flights that are relatively affordable.