It VERY much depends what state you are in, and whether you have a Travel Trailer or motorhome. In states with a "Castle Law" a TT is usually considered to be defensible as a home, a motorhome is not, as you could flee easily.
About 70% of RVers have a firearm in their rig, so it's a common question.
The first thing you need to know is what states have have reciprocity with the state that you have your CC License in. Here is that information: http://www.usacarry.com/concealed_carry_permit_reciprocity_maps.html
The "may issue" states can be really nasty about having your weapon in the RV unless it's unloaded, kept in a locked hard sided case, and the ammo stored separately. As you might imagine, many RVers with firearms try to avoid those states.
This is probably the BEST guide available:
http://gunlawbook.com/
Many people get their CC permit in Nevada, as that state has the most reciprocity with other states.
Mexico... don't even think about it!
Canada... If all the forms are filled out and approved before going, and the weapon is unloaded, and locked in a hard sided case. It's all about the paperwork, and respecting the other country's laws.
Good luck and be safe!