To move from Midwest to Vegas?

Here's the scoop. This is tearing at me. I'm fairly stable, parents are very very stable (boring even). College degree. I own my own house, and several rentals. Tried to start my own company this summer, and things went from bad to worse. Had to settle w/ former employer to avoid a lawsuit, paying my own medical, working 2 part time jobs now, have tenants who aren't paying all of the sudden. I also think I'm depressed (which could be from the stress). I don't have a job lined up yet in vegas, but told my parents, and they were somewhat surprised, somewhat supportive. I plan to get a property mgr for my rentals, and rent or sell my house. Now I'm having second thoughts. While I'll love the weather a lot more, I just don't know. I'm single, relatively unattached, but just scared and nervous, and excited at the same time.