Best thing to do is gamble where you are staying (or stay where you are gambling). As you gamble, you build up your player points. Gamble enough, and they'll comp your room or a night or two. Even if you don't play that much, you get put in the system and they see you've stayed there and gambled there. Next trip, you build up a bit more. After a couple trips, you'll start getting free weekend and drastically good rates.
Bally's, NYNY, Paris, Alldin, and Excalibur are all nice places. The Grand is simply huge and has good clubs/restaurants. Luxor is a little bit of a walk as it's the furthest out. I simply hated the Tropicana but it's in a good location. Barbary Coast is a great location but I thought it was much more of a seniors scene and depressing inside. Boardwalk is a good location but nothing special inside the casino or hotel. The Palms and Hard Rock are nice, but not located on the strip. You'll have to drive, taxi, or shuttle bus to the strip. The Orleans is fairly nice and has a good shuttle going to the strip every 15 min or so. There's a bowling alley and theater inside which can be fun and cheap compared to gambling. the Orleans is also a very good buffet for the price. Not as expensive and the food is great.