What I like about the Palazzo is that all their rooms are suites with at least 720 square feet. This means that you have plenty of space if you want to stay in Vegas with your friends. You have a step down living area, along with a spacious bedroom area.
Interestingly, the Venetian hotel's suites are only 650 square feet. So you actually get more for you money here at Palazzo instead of the connected Venetian hotel.
Another cool thing about the Palazzo is that the free self-parking is located directly under the casino floor. This means that when you park your car and take the parking elevator up, it leads you right into the casino lobby. How cool is that, you don't have to walk too far once you parked your car.
One bad thing about the Palazzo is its location. It is a little too north for my taste. I like the center strip location (i.e. Bellagio, Caesars), where it feels like the action is better and more fun.
Overall, a nice hotel, and you'll get more room and pay less here than at the Venetian.