Sure, Camp Rhino is a little pricey, but they offer what very few gyms in Vegas can - An amazing obstacle course. Additionally, one of the keys here is that the people are just amazingly friendly and are passionate about fitness. I think the majority of people come here for crossfit, but I enjoy just doing stuff on my own. Climbing a wall 20 times in a row isn't easy!
Seeing some of the things that people can do here amazes. While I've seen stuff like the salmon ladder and the fingertip cliffhangers on tv, it's another thing to try and attempt those things. A lot of it is technique, but a lot of it is training muscles that you don't even think about.