Red Rock is a nice place to go for scenic, but not really difficult wheeling.

The last two times I was out around Vegas I tried to visit Valley of Fire and the surrounding area, but have still not yet had a chance. I did, however, do a little wheeling in the area just south of Valley of Fire, north of Lake Mead.

Here are some links that you may find useful when looking for alternatives to gambling while in Vegas:

Valley of Fire link 1

Valley of Fire link 2

Valley of Fire link 3

Ore Car Mine and a nearby slot canyon (look for a dirt road on the west side of the road labelled "Callville Wash North") There's some pretty good wheeling around there.

Trails in the Logandale region , north of Valley of Fire State Park, near Overton, NV (about an hour north of Las Vegas).

Bitter Springs Backcountry Byway managed by the BLM. This trail is long, bumpy/rocky, and sandy in places, but is completely suitable for a stock 4x4 SUV. It's very scenic.

Last time through this region, I had planned to drive the BLM trail and visit Valley of Fire, but we ended up playing around longer than planned in the Ore Care Mine area, and had to skip VoF.

edit: A GPS and/or a topo map of the region is helpful for navigating around this area. If anyone would like a Garmin Mapsource mps file containing the track log for the Ore Car Mine and Slot Canyon, e-mail me.