If you've never been to Vegas, it has it all. You can do the typical gambling thing and dozens of casinos (downtown, on the Strip, or off the Strip). Some favorites are the Luxor, Gold Coast, and the Venetian, but there are so many, including the new Wynn (very crowded!).
Free shows are everywhere (see vegas.com), and the other "pay" shows are usually very professional (and expensive). Book those shows early!
See the M&M store on the Strip. Ethel M’s is fun too. Some of the outer casinos have great family stuff (bowling alleys and such).
Travel outside of Vegas to see some of the desert beauty.