Las Vegas is the show capital of the entire world, where there are dozens of international stars performing *every single night* at venues all over the city, though mostly centered in the hotels along the Las Vegas Strip.
Las Vegas.com has a great listing of shows here by genre:
Ticket prices can vary quite a bit with certain ticket specials and casino comps, so keep that in mind if you are on a budget. There are locations along the strip where you can agree to go to timeshare presentations in exchange for free show tickets. Timeshares are generally a very bad investment, so don't agree to these pitches unless you find it easy to say no to high pressure sales tactics. However if you do find it easy to say "no", then it's not a bad way to save $100 or so on a show.
For price consider Penn and Teller at the Rio - this is supposed to be a great comedy show and is only about $50. For amazement consider Cirque du Soliel's "O" at the Bellagio. For old fashioned Las Vegas showgirls consider "Jubilee" at Ballys.