When I went, I was on a tight budget and it's really not the way to do Vegas. Found I was constantly doling out money, dollar bills here and there everytime someone opens a door for you. I stopped doing it in the end, it just gets silly.
The place revolves around casinos; if you're going to partake then you need to budget a set amount for gaming and stick to it. It's all designed to take money off you, so don't labour under any delusions that you're going to win, and don't go over what you've budgeted.
Some of the shows are pretty good; again, not cheap, but probably worth a punt.
There's always stuff outside of Vegas too – I wanted to do the helicopter ride through the Grand Canyon, but again I couldn't afford it at the time. I've heard tell it's overpriced for what it is, but I'd probably still do it given the chance.
One of the best things when I was there was the Star Trek Experience at the Hilton Hotel. Cheapest place in Vegas to get drinks, and one of the coolest, but I don't think it's open any more.