We visited Vegas in July, and apart from the branches of Sephora, found a few interesting places. First of all, there's a discounted perfume shop in the outlet mall south of the strip. (You don't need to come off the strip - just drive south on the strip, and about a mile and a half after Mandalay Bay you'll see the mall on your right.) It's huge, but there are maps inside - I don't recall the shop's name, but it's opposite Nautica and a few doors down from Pacific Sunwear. They carry some interesting things; I got some Jicky for a friend and some Jardins de Bagatelle for myself. They had several other good Guerlains and carried some Caron perfumes, along with some more department-store-type stuff. A good and interesting mixture, at any rate.
Bellagio carries the Different Company (irritatingly, they'd sold out of Bois d'Iris when I visited) in one of the shops by the conservatory. Even if you don't intend buying any, do go and try them; they're wonderful perfumes. There's a Sephora in the Desert Passage and one at the Venetian shops, and a branch of Jo Malone at the Wynn shops.
Try the Fashion Show Mall for Macy's, Nieman Marcus etc. The Forum Shops have an Estee Lauder shop which I found useful - they carried several old perfumes which aren't available here in the UK. Penhaligons, Fresh and Kiehl's are also at the Forum Shops.
Have a great time. I (in case you'd not guessed) *love* Vegas - odd for someone who doesn't gamble, but the restaurants and shopping are wonderful. Food-wise, try the jazz brunch for lunch at Commander's Palace - they do 90c martinis on Fridays and Saturdays with a little Dixie band, and it's just lovely. It's also a good location for visiting some of the shops I've mentioned on foot...having said that, once you've spent a few dollars on the martinis, you may not feel like it!