I am going to echo the thoughts about going to Vegas. It is suppose to be about fun and there is an abundance of it there. But for your first time, I would keep that thought. It is hard to keep your mind from racing that first time out (and the second, and the third....). So think about something you would really like to do instead of just some place to call the first. Then if you are doing something you enjoy, it becomes easier to relax and then you enjoy it twice as much.