1) Staying off-strip is loads cheaper... usually. You may have to stay pretty far away from the strip, but if you have a car it isn't a problem.
2) If you live in Nevada or have a friend who does they can usually get you in to places using the "local's discount". (YMMV) It doesn't even have to be Vegas local; Reno area residents get the same coverage.
3) If you are looking for the buffet of death I recommend the Aladdin Buffet. $20 a person, but well worth it.
4) You are allowed to wander the strip with alcohol in hand, provided it is in a non-breakable container. Enjoy being drunk the entire weekend.
5) If you drive you will learn to hate, and I mean hate, taxi drivers. They make the ones in England look sane.
6) Also if you drive it is advisable to avoid the freeways during rush hours, as they get more clogged than the surface streets.
7) One more driving tip, but vitally important: Desert Inn is the only road that goes over The Strip/Las Vegas Blvd. (barring the freeways) If you need to get from one side of Vegas to the other you need to remember that.
8) With regards to Strip Clubs: Spearmint Rhino has been endorsed by Howard Stern, true. However because of that fact it is like the floor at the NYSE. Unless you enjoy getting more lap-grinding from passing pervs than actual strippers don't go there.
9) Also with regards to Strip Clubs: there are full-nude Strip Clubs, reffered to as Juice Bars. This is because they do not serve alcohol. Exposed genitals and alcohol do not mix, at least not at a Strip Club.
10) If you are going to get food at some ungodly hour of the night/morning I recommend Roberto's, a local chain of fast-food Mexican restaurants that are open 24/7. That isn't the only draw though; they have good food, loads better than any of the big chains.
11) Avoid self-termed "24 hour" pizza restaurants like The Plague. 24-Hour Pizza, Tropicana Pizza, etc. They cater exclusively to drunks and potheads, and the pizza tastes like... well there isn't really anything on earth that tastes like it, with the possible exception of rotting human flesh.
12) Relating to drinking in Casinos: tip the drink girls. If you're a tightass they will spike your drink with eyedrops, giving you a couple days worth of diarrhea.
13) Also related to drinking: if you want to buy your own booze I suggest Lee's Discount Liquor. Cheap prices, and there's one out by Henderson that is the size of a supermarket.
Finally, remeber this above all else: everything the Casinos do or say is aimed at getting more of your money. Free drinks, no clocks in the casino, no view of the outside, etc. etc. As long as you go into every Casino with that understanding you will have a much more enjoyable experience.