Red Square is a very cool, trendy restaurant. The decor is really neat with things like a solid ice bar top and a statue of Lenin with his head cut off. You will see lots of beautiful people (some obviously for hire) and will enjoy a good vodka martini.
The food itself is good but not great, so you may be disappointed given the price. My meat was overcooked the first time, but the waiter corrected that and brought me another steak despite my protests to not worry about it. On another visit to the restaurant, I had the tuna tartar and it was excellent.
If you want to do something really fun, go into the vodka room. You have to buy a bottle of vodka (which can cost around $250), but when you do, you go into a freezer to drink it. Normally, this wouldn't be that interesting, but the freezer is really cool. It has the head of Lenin in a frozen block of ice in the center. You are given Russian hats and fur coats to keep warm. Everyone looks ridiculous, but it is an experience.
I would recommend this restaurant if you have tried the other nice restaurants in Mandalay Bay, but not before then.