What kind of dancing do they like?
Young Champions of America offers inexpensive Hip Hop classes throughout the valley (Google "Young Champions")
My 8 year old boy has been dancing since he was 5. He does Irish Step dancing (think RiverDance). There are various schools mostly inthe east valley and Scottsdale.
It is such a "macho" type of dancing and the instructors at his school are both males.
My oldest boy tried ballet for a while when he was 5 but didn't stick with it (all the girls in pink tutus freaked him out).