Closer to Palazzo than Venetian, you find this wonderful little store. We've had cookies from Honolulu Cookie Company before and were pleasantly surprised by finding it here.
The store is small but has a pretty large selection of cookies and gift boxes. Very helpful staff. FREE SAMPLES! Yes, free samples to try all of the goodness that they sell here.
Again, lots of variety in flavors and an equal number of ways to buy these cookies.
Now I just need to figure out how to bring all of these home on the plane.