For a first-timer in Vegas for "a few days", you will have your hands full just seeing all of "The Strip" (the main road with all the massive hotels). The hotels themselves are incredible attractions...the New York New York (complete w/skyline), Venitian (complete w/gondolas), Paris (w/Eiffel Tower), Bellagio (w/art from the great masters...monet, Van Gogh, etc), Luxor (w/Larger than actual size Sphinx), etc. The architecture & oppulence of it all is amazing. I believe the Venetian is now the largest hotel on the planet!
The food is
generally inexpensive, every hotel has a decent buffet...the Rio has the "Worlds Largest Buffet" and it is massive. The shows as you mentioned are comparable in price to a Broadway show ($75-125 each). That being said the quality of the shows is also equal to a Broadway show...worth the money in my opinion. How often do you go to Vegas? Not very often...spend the money and see a show! You wont be dissappointed. The Cirque du Soleil shows are always facinating, The Blue Man Group at the Luxor is hilarious & in my opinion a "must see". Penn & Teller also do an awesome/freaky magic show at the Rio.
If you still have time, Hoover Dam is close by...an amazing feat of engineering.
...oh...and you can gamble there as well.
[This message has been edited by Pointfreak! (edited Feb 08, 2004).]