I travel for work, always back on the weekends and somewhere new every week, do I have to catalogue each state I've worked in? I am based and live in Arizona.

For the most part yes.  

Most states will tax you on the income you earn while physically present inside their state.  Each state has a different filing threshold, however, if you meet that threshold, you will need to file a return in that state.

Then, you will need to report ALL the income on your AZ return.  You can then take a credit for taxes paid to the other states on the same income on your AZ return.  So be sure you fill out the non-resident states prior to your resident state.