We've stayed at Mandalay Bay and it has a great pool; sandy area with wave pool action. Really enjoyed it. The main negative is that it's at the south end of the strip (here's a simple map that I think is handy for a quick overview) so if you're hoofing it, it's a bit of a hike to get to the other casinos (though there's an indoor passageway all the way to Excalibur) though you can take the monorail to Excalibur or rent a car. Personally, I like to rent a car to easily visit casinos and attractions off strip but it's definitely not a requirement, particularly for a first timer whose sightseeing is likely more concentrated. That said, I'd recommend staying somewhere more central just so you can step out of the hotel/casino onto the lively areas of the strip. Pedestrian traffic generally dies south on the strip once you're past Tropicana Ave.