We checked it out, using March 27, 2009, as the hypothetical date of travel. Here's what we found:
Greyhound Bus from Arizona to Las Vegas: Fare: $39 refundable; $33 non-refundable, $27 7-day advance purchase Total: $176, $170, or $164 Travel time: 1 hour, 50 minutes
Total fare: $176/$170/164 Total travel time: 36 hours, 14 minutes
So, if you're in no hurry, enjoy the actual process of traveling, and don't mind being cooped up with your companions for a day and a half, right now you can save about $100-$200 per person by going the train/bus route.
But if time is money to you, or you just don't want to spend three days of your vacation in transit, then we'd recommend biting the hundred-dollar bullet and sticking to air travel.