This is a very tricky legal question and I would certainly suggest you consult a lawyer to determine the legality and requirements to operate such a business. I would also be paying close attention to the current lawsuit in Tucson by one of the Indian tribes against one of the ICPGA poker rooms to see how this all plays out.
There are certainly some concerns about the legality of such an operation in Arizona, but the Attorney General's office has not committed one way or another at this point, though somebody from that office said they would not prosecute because they did not think they could get a conviction. They can always change their mind though.
Judge Lee and the ICPGA certainly believe they are engaging in legal commerical activity, but you will have to make that determination on your own when you consider whether to open one of these card rooms.