I have heard of folks being harassed on the strip in Vegas. But I have OC’ed in Vegas but I don't go down to the strip anyway. Clark County has some weird laws that were grandfathered when Nev. did the state firearms law preemption, so some care must be taken there.
I personally have OC'ed all over Nev a fair bit without any issue. Especially Northern Nevada in including Reno, Fallon, Winnemucca, and all points between. In casino areas especially Vegas, watch your P's and Q's, a number of casinos are NOT firearm friendly. Also check the restaurant/bar carry laws.
Arizona is totally cool OC.
All this said, check each states laws, there are some little thing you’ll want to know yourself. I live in Utah and travel between Ut, NV and AZ frequently and OC all the way since I’m accustomed to the local. I would not want to try and give the complete OC download, as I might forget something that could get you in hot water. A case in point, in UT, if you do not have a CC permit, you may not carry “loaded”, ie auto with loaded mag, but nothing in the chamber is the UT legal definition of “unloaded”. AZ nor NV have a “loaded” vs “unloaded” requirement similar to this.
Check opencarry.com for some good state by state info.