I am a Canadian citizen/resident. I am considering a drive to a northern Nevada city to visit one of its legal brothels. According to my research, international sex tourism is legal as long as no minors are involved (though I would very much appreciate being told as much if it is not). Even so, I fear that I may be denied entry if I am completely honest about my purpose. Inventing a second purpose for my trip will be difficult, as I am not interested in any attractions along the way.
First, let's review the typical roster of questions to anyone -- the iron rule is to never lie and never offer information unasked:
Why are you visiting the United States?
I wanted to see Nevada. (This is enough.)
Where will you be staying?
If you have a hotel reservation, bring it printed.
Who will you be visiting?
You aren't planning to see anyone in particular.
How long will you be staying?
How much money are you bringing?
Same. These days this is becoming rare with credit cards.
Have you visited the United States before, and if so, did you remain longer than you were supposed to?
How often do you come to the United States?
Just answer short and truthfully.
At the end of the day, though, you are Canadian. The scrutiny will be absolutely minimal. Noone will press questions, they couldn't care less. (Source: first hand experience of the scrutiny as a resident travelling on a Hungarian passport then the sudden evaporation of grilling the moment I started using a Canadian passport.)
As you say, you intend to engage in 100% legal behavior, and, as others have commented, you are entering the USA as a tourist. If they ask, tell them the truth about where you are going, but don't bring up unnecessary facts or use charged language. For example:
Officer: Why are you coming in to the US?
You: For tourism.
Officer: How long will you be here?
You: About a week, maybe two.
Officer: Do you have a specific destination?
You: Yeah, I plan to visit the Starlight Bunny Resort in Nevada.
Officer: Do you have any drugs or guns?
Officer: Have a great trip!