Las Vegas casinos have their own version of frequent flyer programs. They're called "slot clubs", and it's in your best interest to join them when you are visiting Las Vegas. It's free to join, almost all of the casinos have them, and you get an ID card when you sign up. Make sure that the card is in the slot or video machine when you're playing, and you'll earn "points" based on the amount of money you gamble, which are good for merchandise, free rooms, food, or even cash back.

Some casinos will allow you to show your slot club card to the dealer, and give you credit, for table games such as craps and blackjack, but this seems to be rare and disappearing. But sometimes you can get some good stuff just for signing up. To see a list of slot club promotions and what you can get for signing up, go to http://www.lasvegasadvisor.com/greatdeals-slotpromotions.cfm .

Just to bring this full circle, I understand that the MGM Grand will allow you to cash in your slot club points for American Airlines frequent flyer miles!

You don't even have to cash them in. MGM automatically gives you one AA mile for each two Director's Club points. That translates to one AA mile for each $10 put through reel slots or $20 through video poker and "participation games" such as the big linked prograssive jackpots.