The ESTA doesn't have to be printed, but I do that to be safe. The metal detectors are extra sensitive, so if you are used to walking through with your shoes or belt (as we can in Oz), take them off first. Don't attempt any humour with the INS.
When leaving Vegas, prepare for an unexpected delay in passing through security. There is a train from the gates to the baggage area. The MGM has its own shuttle service, so look for it if staying there. Otherwise a shuttle will work out cheaper than a cab.
Don't forget to tip, so keep your $1 notes handy.
Don't mention rubbers or fags. ;)