Hotels: First timer, stay mid-strip: Cosmo, Bellagio, Aria, Vdara, Caesars, etc. I like Wynn, my wife loves Cosmo. Pools will be closing for the season if they have not already. The cool part of Cosmo is the balconies, but if its 60 degrees outside, probably not worth it.
Food: Eat well. There are a number of great places to eat in most hotels at all price ranges.
Shows: I've seen Ka, O, Zummanity, Love, Blue Man, etc. I'd suggest Love if you like or have any interest in Beatles music. Ka has an actual story line and is easier to follow than the others. If you like country, Garth Brooks is in the last few months of his show at Wynn. Its a unique show and a good time, but pricey. Cirque has an insiders club that you can join via their webpage. They often have 20% off tickets during the non-peak seasons. Zummanity is a bit raunchy, but pretty entertaining.
Clubs: XS, Tryst, Tao, etc. are all good. I like Tabu in the MGM. Its a smaller place and has a good vibe. There is an ISU alum that used to work for the XS/Tryst group. She's hooked me up a few times with tables.
My last trip we had a corner suite at Cosmo on the Bellagio side of the hotel. We could watch the fountains from our balcony all day and night. It was cool, but probably not worth the $. FYI - I don't gamble either, but I feel that I can get world class service, food, and shopping that is subsidized by other peoples gambling. Entertainment in that town is great. Just avoid the pirate show at TI, total waste of time.