M.D.
We've been very happy with The Little Gym. My daughter has been going since she was about 1 - she's 4 1/2 now and still loves it. My son is nearly 3 and has been going for a year or so and also loves it. I really like the teachers and I like that it is structured and they learn real skills, not just free play. I also like that there are lots of choices - dance, gymnastics, karate, etc. for my kids as they get older. It's a good way to try new classes without committing to the costume/recital madness of many dance studios, or the seriousness of competitive gymnastics.
We go to the one in Gilbert - I think the owners also own and run the Scottsdale location. Most places will let you do a trial class for free - check out both of them.