You didn't mention if you were bringing your kids, but I'm assuming you are. The shops at Caesars are really cool and they have some great stores. The ceiling is painted like a real sky and it changes from day to night, from sunny to stormy. They also have small "shows" at each end, like statues that come to life and put on a short little performance. There is a Cheesecake Factory in there as well.
As others have mentioned, just walking the strip is great. The Bellagio has a cool water show at their outdoor fountains that is put on to music (and lights at night) and Treasure Island has a cool outdoor pirate show. I think it's New York New York that has an arcade and roller coaster. Each hotel has a theme and something cool, like the Eiffel Tower or the canals at the Venician. Just remember to bring comfortable walking shoes.
Mandalay Bay has a great pool area, with a beach, tide pool and river. They also have a small aquarium. We love the Montecarlo also because it's more low key, has a cool pool area with a river and a FOOD COURT, which is great for inexpensive meals with the kids. Food will cost you an arm and a leg at most places.
Hope that helped. Have a great time!