Thanks fatter and doc. No offense taken doc. Kind of two issues that you're hitting on. In a sense, hyphenated and non-hypenated compound domains have distinctly different advantages. I've no doubt what you say about SEO benefit with the hyphen version (better parsing, etc.) is correct. A good number of domainers buy hyphens on that principle alone. On the other hand, a non-hyphen is more intuitive, natural.
In the case of PhoenixArizona.info, it would be the next best alternative to Phoenix.info. Given the huge pop of Phoenix, I think it's a safe bet that a decent paying end-user exists there, i.e. decent future sale. fatter's guestimation is reasonable imo.