The Forum Shops are located next to the Caesars Palace Hotel and are actually connected with both casino and the hotel itself. It was my favorite shopping destination while in Vegas, as it combines the luxury shops with brands such as GAP or H&M. There's also some good restaurants and cafes there (including my favorite Carmine's).
This shopping center is very big, so it's quite easy to get lost if you miss the right turn, but it's so pleasant to walk around that you don't actually care much. The decor is very pretty in a kind of tacky way. The inspiration was probably a city in Italy so there is a lot of statues all over the place, a few sculptural fountains, the passages are made to look like alleys and the ceiling is a blue sky :).
If you have free time, go there, do some shopping and enjoy a really great gelato!