I know of no strip clubs that offer any "extras", if by that, you mean hanky panky on the side.  The only "extras" any of them really have is an extra amount of harassing you to buy more lapdances.  

There used to be one in Phoenix that was really a house of ill repute, but the cops raided it and shut it down.  For some reason, their investigation took something like 2 years.  Probably because they personally investigated those strippers daily for 2 years during that time, to uh, gather more evidence or something.

Apparently, you can get extras at Highlighter in Phoenix.  A few years ago, two Tucson cops who were in Phoenix for training or something went there and arranged for one of the girls to meet them at their hotel for a fee.  They were drunk and had their fun, but the next day the felt really guilty and confessed what they did to their superiors.

As a long time Phoenix strip club junkie, I can advise you that the previous posters are not providing the best intel.  First of all, Scottsdale clubs are a waste of time if you're looking for contact, extras there are pretty much non-existent.  In Phoenix, Bourbon Street usually has the best looking dancers, and you can get moderate two way contact in VIP for $20/song, but extras are rare.  HiLiter (not HighLighter) on 12th and Highland has plenty off hot dancers that will do handjobs in VIP at $25/song, some will do more.  Historically, dayshift is better than night in several ways but things have been equalizing for awhile now.  Bandaids is owned by the same folks as HL, but it's smaller and more ethnically diverse.  Some extras available.  If you don't care about alcohol, Blue Moon on Van Buren is a divey little nude club where you can get a hand job and FIV with pretty much any dancer, but privacy is limited.  

For current club info, the best online resource is tuscl.net.  Lots of accurate club reviews and an active discussion board.
Happy Hunting!