You'll do undergrad and graduate work at different schools, so you're just looking for undergrad now. Strong grades are good; U of A isn't too hard to get into if you live in-state, harder out of state. U of Chicago is hard to get into in either case. But it really doesn't matter; you can study physics pretty much anywhere and then go to a good graduate school if you did well. How about your local state schools? Many are excellent, and it's cheaper than private schools. If you want a shot at a top school, they'll want to see activities that show them what you're interested in - like math and science clubs, joining a local astronomy club, even doing research.