Not strategizing your transportation and/or thinking you can walk everywhere
This is the desert, the buildings are larger than life, and distance is a mirage. Too many tourists look out from the Bellagio and say, "Let's walk to the Venetian -- it's right down there, we can see it!"
Your eyes have no idea how close a thing is. Also, you're probably wearing the wrong shoes. Also, all the cabs are out to screw you. Also, you have to get back at some point. Don't waste a whole day walking and whining about it. Know where shit is in relation to other shit and how you're getting from one thing to another. We're not saying plan every second of your WILD AND CRAZY Vegas WOOO vacation; just have a general idea of what your day might look like.