I have seen plenty of Vegas shows....this ain't Cirque du Soleil.... and it's not cheesy Chris Angel (whom I did see last year). It's Penn and Teller and they were awesome! If you are looking for anything short of their sarcastic magical moments, then don't go. The show is performed at the Rio hotel, which is not located directly on the strip. It is about a 5min drive (with no traffic) but the hotel has shuttles until very late running to and from the strip. The show description promises revealed secrets to many popular magic tricks. And, while they don't lie, they also added to these trips after revealing the "secret" that still left you mind blown.
Pro:
Funny
Magic
Music before hand
Plenty of audience participation
Reasonably priced tickets
Con
Short
Off strip location