John H. - I think it's ok to whisper "Vegas, baby" to yourself as you get off the plane. But I'd agree not to say it in public.
Kenkwan is right about gambling downtown - everything is much cheaper. You're probably not going to sit next to Ben Affleck in Binion's, but your money will last you longer (and you won't have to sit next to Ben Affleck).
I happened to see the Bellagio lightshow from the "Eiffel Tower" at the Paris casino. Very impressive - if you can time your visit right, I'd recommend that. Do not go to Aladdin/Planet Hollywood. It sucks. Bally's and Harrah's are not very interesting either.
Treasure Island is a good mid-price place to stay. The interesting casinos to walk in (my opinion, of course) go like this, from one end to the other: Mandalay Bay - good, Luxor - interesting but cheesy, Excalibur - sucks, New York, New York - interesting, MGM Grand - huge and pretty cool, Tropicana/Harrah's/Imperial Palace/Bally's - boring, Bellegio and Venetian are very impressive feats of commercialism, Mirage is all about Seigfried and Roy. I already mentioned the Wynn, Sahara and Stratosphere.
Take the monorail if you want to go up and down the strip a lot. A day pass will get you all over the place. You'll need to take a cab downtown.
There's a pretty big shark exhibit waaaay out at the end of the Mandalay Bay shopping center - all the big casinos have shopping centers and restaurants now.