I have been the Vegas many times and every time we went by Carlos Bakery there was a huge line and even though I love sweets I couldn't stomach the line. Since we are staying at the Venetian it is now just a 5 minute walk away. This is a Thursday night and the wait was 10 minutes.
We tried a little of everything and it was all very yummy. They have a lobster claw which is a cream filled pastry and it was great. I also tried the chocolate filled cream puff, the cannoli and two different cupcakes. Everything was fresh and delicious. They wrap everything up for you in a nice box with a gift-like presentation, very classy. The price point is such that everyone can afford to try "something" as most of the items are in the $3 to $5 each and I paid $11.00 for a chili dog earlier so in comparison this place is a deal.
I still have 3 more days here in and I am certain I will be stopping by again to try some other delightful goodness.
Update. I'm back several months later and this place is still rocking the sweets!! Make sure to add this to your list of must do's in Vegas!
Enjoy!