Booze is free as long as you're gambling. One night we got totally hammered feeding the penny slots
Don't touch cabs, they will con the hell out of you. Instead, there's a bus service called The Deuce which runs up and down the strip every 15 mins. Costed us $5 for a 24h pass iirc. Massive air conditioned, double decker affairs.
If it's too good to be true, it is. Never has this applied more so than Vegas. We were offered all sorts of free shows and stuff, only for a few minutes of our time. Turns out a "few minutes" means a whole day staring at a construction site listening to some floppy bang on about what an exciting investment opportunity it was. Luckily someone else got suckered in and they drove there (rather than use the supplied coach service, thus removing your means of escape. These guys will bully you into buying their crap). We caught a ride with them back to the hotel and told the salesman to do one. Wasted a couple of hours, but we made the mistake of going for two weeks (we did get married there however). The "free shows" were some dodgy show in a tiny little hotel in the backstreets somewhere too.
Don't go to fast food chains if you can avoid it. Buffets out there are plentiful and you will not find a better deal.
Every casino has a loyalty card. Some are crap but it takes 2 mins to have a look at their brochures and some are real gems, we had one which gave us 2-4-1 tickets to a good show, 5x 2-4-1 buffet vouchers, a few free games in the casino and a shirt. Another one gave us a backpack and some other bits and bobs.
Down the strip, also reachable via the aforementioned Deuce, is a massive outlet center. No more than 15 mins on the coach, has TONS of shops which sell american brands cheap, think Levis, Lee, all the usual culprits. I picked up a pair of Levis for $15.
Try set a day aside for a tour of the grand canyon, area 51 and Hoover Dam. The helis are nice but over way too quick and noisy. We went on a coach and you can tell that the coach drivers like tips, this guy was like a speaking Wikipedia on the area, loads of interesting little nuggets of information and it wasn't rushed. Again, this was one of those huge air-conditioned jobbies so very comfortable.
The shows are a mixed bag. The ones you want to go to are either sold out, cost a grand a ticket, or are for VIP members only. The ones you can afford to go to are usually 50/50, we saw Cris Angel's Mindfreak over there and it was fantastic, but then we also saw some other concert and it reminded me of a school play. Both cost the same price.
Nightclubs are fantastic. The hotel ones are generally the best we found, some of the sideline ones are also good but are quite pricy to get in ($50+ a ticket).
When hungover, the Mandalay Bay lets anyone in to their pool area, this is the place to go if you want to check out the things you can check out before getting married

. Go early for a deck chair and just chill out next to the pool. The waitresses are usually old munters who have lived in Vegas all their lives but there are some proper stunners too.
The side streets off the strip have some really nice joints too, Hollywood Cafe, Hard Rock Cafe and the like. All certainly worth a dinner or drink as they really put effort into the places.
The most important thing with Vegas is don't be afraid to ask. Everyone does it, it's part of the culture there. We blagged free show tickets, a free dinner for two, free cocktails, free buffet tickets, the lot. I'm not one for asking for stuff, but I blame it on the free booze they gave me.
Oh and be prepared to see some proper weirdos walking around.