Hello fellow Arizonian! I also have been doing my share of research on ordering a Yukon XL in the Phoenix area. Most of the dealers that I talked to wouldn't even order me one at MSRP. However, thanks to this forum and some other research, I found two dealers I would probably order from. I haven't decided which one I will pull the trigger with yet but both seem to be worthy of consideration:
A) Royal GMC in Tucson ==> They will order your vehicle at MSRP (I believe any trim level) and the only required dealer adds are $499 doc fee, $399 Lifetime window tint and $199 Security etching. This dealer seems to have a pretty good reputation, seem to get decent allocations and also offer this "Warranty forever" on basic the powertrain for free. I haven't looked into that warranty that much, but has to be worth something since it is free. I don't know if they honor GM supplier pricing but will ask them.
B) Yates GMC in Goodyear ==> Working with the Fleet manager there he will order me an SLT at MSRP and the only required dealer add is the $499 doc fee, nothing else required. I honestly didn't ask him about ordering a Denali but hopefully they will do MSRP on those as well. He also said he will honor GM supplier pricing, although I'm still working on that part.
I believe another member (Brix) has a different Phoenix dealer he is happy with but I will let him speak to that.
Hope that helps. If you want any specific info you can PM me.
Rich