Generally, the first thing to do is ask the person holding the items to return them. This is best done by sending a list of the items by registered mail addressed to the person holding the items. Sometimes a letter is included telling the person that if the property is not returned then further legal action will be taken. This threat of legal action can only be made IF you are willing to actually file the law suit. Don't bluff. Your parents may be able to help you. The police won't be able to help unless there is proof it is your stuff.  Even then, if there is a claim that the items were gifts, the police will not want to get involved.

If a written request for the items doesn't work, and you wish to go to court, below are links to information relating to the Arizona statutes on Replevin (getting your stuff back): 

A.R.S. § 12-1301; Affidavit to obtain possession and A.R.S. § 12-1302; Order for taking property

So, you can go to court and submit information of what property is being held, that it really does belong to you, and that the property hasn't been returned already. If the court finds in your favor, the sheriff (or someone in a similar position) will go to where the property is located, obtain possession, and return it to the rightful owner.  This type of claim is usually filed in Justice Court unless the value of the property is greater than $10,000.