I'll start with something I haven't noticed in any other post: The Strip is WAY longer than you think it is. The first time I went was around 2001 and we stayed at The Stratosphere. We got up the next morning and decided to walk the entire strip and back, stopping in every casino to get a $1.00 souvenir chip. That was a bad idea. We failed to realize that The Strip was around 5.5 miles long. We did manage to make it all the way to Mandalay Bay and then back to The Riviera before I threw in the towel and took a cab back to The Strat.
Expect to hemorrhage cash even if you're not gambling. Don't get caught up in any streetside scams (three card monte, anyone?) Don't answer to anyone approaching you on the street no matter how polite they seem. Keep your cash where it can't easily be lifted. I know that makes it sound terrible. It's not. It's just not my thing and I have no desire to go back. But I'm glad I went.
If you have time and transportation, DO check out Hoover Dam. Take the tour. It's an engineering marvel. And you might as well head on over to The Grand Canyon, too.