We seem to be on a gastronomic roll right now, with lots of QoDs being submitted about various food and drink items, so here's the latest.
In answer to the current questioner, there is one venue that stands out in particular, and that would be the Whisky Attic, located upstairs at the Freakin' Frog (4700 S. Maryland Pkwy.) Renowned for the vast number of beers they stock downstairs (more than 1,000), when you ascend to the hallowed "attic," you'll be confronted with the largest selection of Scotches, whiskies, and whiskeys available anywhere in the U.S. -- some 600 in all.
Up until 2009 it was a members-only club, but now the Whisky Attic is open to all and hosts regular events and tastings -- follow on Facebook or email [email protected] for updates. The owner, Adam Carmer, is an adjunct professor of Wine and Spirits at nearby UNLV, so you know he knows his onions, or rather his grains. And while some of the more rarefied libations go for several hundred dollars a dram, many are reasonably priced and almost certainly cheaper than any equivalent you'll find on the Strip.
Still, if you want to combine your sipping with some fine dining, you might want to check out one of the following suggestions (the Frog serves decent bar food, but it's just bar food).
One suggestion is Andre's at the Monte Carlo, which, although better known for their extensive list of Armagnacs and Cognacs, also currently hosts a regular "Whisk(e)y Wednesday" event, featuring different delicacies (the most recent focused on chocolates), complemented by whiskies from around the world. The Feb. 1 event ran from 9 to 11 p.m. and was $25 in advance, or $35 at the door, for an unlimited two-hour tasting. The bar stocks, in their words "tons" of whiskies; here's a sample they kindly provided, with prices (per glass), of some of their rarer specimens:
Craftsteak at MGM Grand has an extensive Scotch list that's updated daily, with different specials and "flights" to try. Eating Las Vegas co-author Al Mancini praises the Scotch over the food here (he vetoed the restaurant's inclusion in this year's "Essential 50," although we have to say we've always had great food at Craftsteak. Al's just all steakhoused-out).
Our final restaurant/bar recommendation would be Michael Mina's Stripsteak at Mandalay Bay, which also features a huge whiskey menu -- so huge, in fact, that it's available online as a 50-page "Scotch book", full of interesting background about all the different areas in Scotland from whence these single malts hail.
It's a shame your trip isn't a little earlier, because on March 1 Stripsteak is hosting a Scotch Dinner at 6 p.m., featuring a special five-course menu with a Glenfiddich Scotch pairing. The menu will begin with Hudson Valley Foie Gras Mousse and progress to dishes such as Smoked Duck Spring Rolls and Braised Kobe Short Ribs, and Glenfiddich Brand Ambassador Mitch Bechard will be on hand to educate guests on the intricacies of Scotch and its versatility as a pairing. It's $80 per person, plus tax and gratuity and reservations are mandatory and can be made by calling 702/632-7414.
As to which stores to recommend, we'd suggest the Lee's Discount Liquor chain, the proprietor of which was the subject of a recent QoD (see 1/27/12). They carry the largest selection of booze in town (we know they stock 300+ vodkas -- when asked how many whiskies they responded with, "No idea, but it's a lot!)and you can ask questions on the Spirits page on their website, if you're looking for something specific.
We hope that helps. Let us know what you try, and where, and how it was.