The Burlesque Hall of Fame is located at the artsy, funkier end of Fremont Street. It's a whitewashed side room that's part of a coffee bar/restaurant in the Emergency Arts building. Even the workers on Fremont Street aren't sure where it is, but it's worth searching for.
As the previous reviewer said, the room is small but PACKED with photos and wall exhibits of various burlesque artists. There isn't much in the way of coherent presentation, but it's really fun to walk around and look at. Apparently there is much much more in storage, and I hope they find (can afford) larger space soon, because it would be fascinating to see more about the development and history of burlesque, and more costumes and maybe even videos of performances...
The highlight of my museum visit though was being able to talk to the woman sitting at the counter. She turned out to be a burlesque "Legend", Tiffany Carter. She was happy to talk about the museum and about her career and experiences. She was great. There is a big annual gathering in May where they crown the new Miss Exotic World but they also have a show featuring Legends of Burlesque that I would love to see.
It's a great diversion if you are tired of casinos and are hanging out in Downtown.