Whenever traveling with first-time visitors, I always take them to Luxor and Caesars Palace. I like the theming of both and I think it gives you an immersive themed casino experience. When you go to see the Bellagio fountains do it at night - it is a completely different experience than seeing them in the day. Try to get a close to the middle if you can, and against the rail in the center of one of the little viewing 'divots'. It will feel like a full immersion experience! Also walk on the bridge between Bellagio and Ballys at night, and stop in the middle. You will be surrounded by the lights and action of the strip - right in the heart of everything.

For lower-limit gambling check out the Ellis Island behind Ballys. A tiny local place with an off-the-menu steak special for $8.95 now (I believe) that is legendary.