There are multiple locations of Whole Foods and Trader Joes in Scottsdale. AJs Fine Foods is the local high end grocery store. The Fry's (Kroger) at 4707 East Shea Blvd, in Phoenix seems to have a larger selection than most, and there is a Whole Foods and Trader Joes at the same intersection. Andreoli Italian Grocer gets some mention here. I'm sure there are more specialty places, but, not my neighborhood.
Edit: Not really gourmet, but, Sprouts might be worth a visit.