My buddies and I stopped in Vegas and wanted to see some shows, we stopped by "Tix 4 Tonight" and were surprised to see them selling for slightly less than online (vegas.com for instance).
We were a little cautious about someone selling tickets as a 3rd party, but the price was good, and we ended up seeing "Absinthe" @ Caesars which was a really great show.
The process is, you buy some seats, you get vouchers for those seats, you run/walk over to the box office where the show is playing, you get reserved seats.
About it. I can't speak for other shows, but it worked out great for us, Saving about $10-15 per ticket each.