L.P.
#1 choice by far: "O" by Cirque de Soleil is wonderful. (just FYI: I don't think this one has performances on Mondays or Tuesdays.)
David Copperfield good if you like the magician/illusion stuff.
Wayne Brady is real funny if you like more of a comedy show.
This isn't a show but was fun...Madame Tussauds (interactive wax museum). I think it was at the Venetian?