Just make sure the shows you're going to see are playing. I was just there a few weeks ago and some of the Cirque shows were on a break. Not sure if they're back or not, but it's worth checking to make sure they're actually playing the week you're there. I've seen Mystere, O and most recently Ka. All 3 were good, and you can't go wrong with either one. Just see which ones you can get discount tickets for (Tix4Tonight usually has some tickets for these shows and the discount is usually about $20 on the seats which are around $100).
I've also seen Lance Burton who was pretty good. Blue Man Group was also very good. I also saw Steve Wyrick (illustionist/magician at Planet Hollywood) on my last trip out to Vegas. He was pretty good. I've heard from people Penn & Teller was crap although that was a while ago, and perhaps they've fixed up their act.
BTW, I voted Mystere just because it was the first one I saw and was in awe the whole time. I think it's also the longest running Cirque show on the strip, and for good reason.