Here are lots of pages that say you can:
http://www.google.com/search?q=arizona+alcohol+warehouse+clubs+non-members&btnG=Search&hl=en&safe=off&client=firefox-a&rls=org.mozilla%3Aen-US%3Aofficial&channel=s&sa=2
I know we can in California.
I have to admit Costco’s website doesn’t list Arizona.
Well since I’ve never tried it it I have no idea. I’d guess though they apply the same rules to everybody, unless they have some sort of different layout for the non-member booze buyers to get in and out there’s probably going to be a receipt check on the way out.