Uh Jay's Market is awesome. We stayed off-strip at a Marriott and walked every morning from our hotel to The Strip right past Jay's Market. Conveniently Jay's had cheap horse cocks, so we snagged one every morning. They were also nice and helpful in answering our questions about when we can legally carry our beers around (not until we hit the Strip, apparently)
They had everything a convenience store has, and the place was clean, so I'm giving an extra star for that.