Jeremy, a while back there was a time when having two separate websites was preferred. However, that's not the case anymore. It's more important now to build your site's Domain Authority and Trust, and then let that DA and Trust pass throughout the site to help all of your site's pages rank well.
If you were to have separate websites, then you would have double the work to build the same Domain Authority and Trust. If you had one site, it's not as much work.
Let's say, for example, you get mentioned in the media and they link to your Phoenix location page. Well, that Domain Authority and Trust will pass throughout the site--and will actually help your other locations rank, well.
So I would definitely NOT set up separate websites. But, you might consider registering those domains and 301 redirecting them to your location pages on your main domain name.
I would, though, set up separate Google Plus Local pages for each location, and make sure each is verified. They should also link directly to the location page, as well.