Guys,
I have not gone to Canada, Mexico, or Nepal for the H1B stampping, but from what I hear from people who have gone to Mexico, it is easier and quite safe to go to either Mexico or Canada for visa stamping over Nepal. Consulars at the US Consulates in Mexico and Canada have been dealing with a lot of such cases and if you have basic documentation (as H1B approval noice, employment letter, pay stub, I-20's while at college, college transcripts), they do not inquire other things. Safe because if you lack any documentation or are denied visa for any reason, you can always contact your company attorney immediately and get prompt response or you can get in the US (with your H1B) from Canada or Mexico.
Thus, getting visa stamps from either of these countries is better than to go to Nepal for it.
Good Luck!