Well you can check out Gameworks, it's a Sega arcade on the strip. It's kind of in an odd place though, (sort of underneath one of the hotels I think Planet Hollywood).. it's pretty cool if you are into Sega arcade gaming. They don't maintain their games too well there though which kind of sucks.

There are a ton of classic gaming stores around town, but you'll need a rental car to get around to check them out. One is not TOO far from the strip called Gameworld. It's pretty cool they basically have just about everything although sometimes they price things a little too high. If you want to venture even further away from there strip there are a bunch of other places like Game Haven, Game Repair, Game Over, and some others.