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I've seen:
"O" at the Bellagio -- pricey, but really awesome. Amazing acrobatics and a really neat soundtrack
"Love" at the Mirage -- pretty cool... acrobatics not on the same level as "O" but how can you go wrong with the Beatles as a soundtrack?
Blue Man Group at the Venetian -- awesome. Really great show with an awesome soundtrack.
"V: The Ultimate Variety Show" at the Venetian (but now at Planet Hollywood) -- standard variety show. Inexpensive, and decent for the price you pay.
I've seen Penn and Teller outside Vegas, and have no doubt that their show in Vegas is awesome.
You may want to see "Ka" at the MGM. I've heard great things about the show. It's been my experience that although most shows have a pretty steep price, it's totally worth it.
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