My favorite thing to do in Las Vegas is walk down the strip. Start down by Mandalay Bay, stay on one side of the strip, and walk alllll the way down, stopping in every casino along the way. When you get to Circus Circus (or Sahara or Stratosphere if you can do it), cross to the other side of the strip, and do the same all the way back. Not only do you get to see almost every casino in only a few hours, you can also see what clubs and bars look good, what shows are playing, etc.
My must-see list:
Fountains @ The Bellagio (free)
Shark Reef @ Mandalay Bay (go first thing in the morning, no line)
Manhattan Express Roller Coaster @ New York - New York
The Stratosphere & its roller coasters
Treasure Island's pirate show (free)