The gun store is great. But, bring some cash. It's not cheap. The last time I was was in Vegas (back in June) I spent $160 to use the M249 SAW, M4A1 and HK MP5. Plus you get a free t-shirt. They do have a wide variety of guns you can use though.

Lots of wonderful national parks around there.Oh, and go see the Grand Canyon.

Hoover Dam is kind of interesting. But you have to pass through airport-like security. The underground portions are pretty cool.

You can also check out the Gold and Silver Pawn shop from "Pawnstars". It's on the strip, not far from the Stratosphere. It was a lot smaller and crappier than I thought it would be. Really shattered the illusion.

It's probably too late for this but if you haven't gone/left yet.
At night go to the stratosphere top of the world restaurant...I don't remember the name of the bar but order 1 drink at night and enjoy the view of the Vegas lights. I like the hookah lounge's atmosphere, I've only been to the one on Maryland not Sahara, cirque's Ka is a wonderful show, blue man group is ok, check out the art galleries in the casino's and the seasonal displays (always a nice free activity), interesting thing is to go to the coca-cola world/factory and for $7 you get to try 16 different soda's from around the world. Off the strip there is the ethel m chocolate factory where you can tour but it's better at the holidays when they put up lights in their garden walk area. The obvious choice of check out Fremont street for an older feel and cheap eats and the canopy show at night. If for some reason you decide to check out a movie the Palms has a nice movie theater unless you're staying way north then you might want to try red rock. Speaking of red rock you can go hiking or even hit up mount Charleston.
If you want to save $ and make your drinks in your hotel room, check out Lee's discount liquor on Sunset (behind the Outback Steakhouse). Cheap liquor and mixers and a ton of choices. The have another one closer to the strip but it is smaller than the one on Sunset.
Hope you have/had fun on your trip!

When in Vegas, take a trip 25 minutes north from the strip, and go to
Red rock Canyon.

No, don't go to the Casino, although it is nice,
but go to the state park.

You will need 3 hours to drive the whole circuit
but it has many indian petroglyphs and agave pits and
alot of awesome views.

It feels like you're in the middle of an old western movie,
and not 30 minutes outside of vegas