If you love to kill two birds with one stone: The Onyx is for you (especially if this includes perusing/purchasing fetish gear from the sex shop that houses your theatre)
It is a small and unique venue in the same infamous shopping center with the Green Door. Over the years I've seen outstanding performances (Confessions of a Mormon Boy, Evil Dead) old revamped (heavy on vamp) favorites like Rocky Horror, hilarious Silence of the Clam and Facts of Life. There have been many others but these stand out.
You can interact with cast afterwards, grab a drink or fetish gear and just enjoy a fresh and unique experience. Tickets are inexpensive & there's a casual feel to the whole creative process I much prefer to many overwrought Strip productions.
I look forward to going there regardless of the production because I always have a great time. I miss the experimental theatre scene in NY and this comes close. Plus there's good eats nearby.
About as unVegas as you can get. I love it.