If you search, you can find a coupon for nearly anything in Vegas. The ones that will save you the most of course are typically room coupons. You can often find coupons at the large resorts good for anywhere from 15% to 30% off if booked through their website. Many resorts will even let you call in and have your previously-booked rate reduced if you later find a better coupon.
A site that I like using for Las Vegas hotel coupons is http://www.smartervegas.com/
There are also frequently good coupons posted to the Vegas Forum of TK and you should post looking for coupons if you have something specific in mind; someone may have one for you.
Another route is "Liking" a particular resort on Facebook; they frequently put coupon codes that are only good for 48 hours on their Facebook pages, so you have to Like them to get updates from them or you might be too late. You can always unlike them later after you book.
There are also coupons all over the internet for shows, buffets, restaurants, etc.
If you're already in Vegas and you want heavily discounted show tickets, with the catch being that you may have to go see the show in question within a few hours, is Tix4Tonight.com They sell same-day tickets via retail booths scattered about the strip, but, just as that sounds, same day is same day, so you're saving a lot by buying a ticket for a show that could start very soon after you buy it, so best to be prepared to buy, go change, maybe eat dinner if you have time and then hit the show. Just an FYI, as of April 2012, they do not yet have tickets for Jersey Boys since it just recently re-opened at Paris; they'll probably have them in the next few months though as the initial crowds slow down, I'll check in June.
Finally, never forget to check http://www.restaurant.com for deals; there are regularly $20 for $50 and similar coupons available for high end restaurants in Vegas; spend 5 minutes and save $30, not a bad deal. Actually, if you sign up for their email blasts, you can regularly get $25 coupons for $3; I just did today when they ran a promo for 2012 tax filing day.