On my most recent Vegas trip was taken here by a regular. It has a variety of corsets and then a little bit of everything for the general fetish: paddles, floggers, whips, toys and books. It's like an S&M focused adult store combined with a corset store.
I got a couple of really cute under bust corsets (a black brocade and a maroon with black trim) that was perfect for parties and Halloween. It's on the expensive side, but you get quality steel boning that will last. The people at this store are really helpful in answering questions and make sure you know how to care for you corsets. I appreciate how they weren't pushy sales people and let me try on as many items I wanted. A chair was provided so I could make sure I was comfy, standing up and sitting down.
Do bring a friend since trying on corsets is not like regular clothes shopping, it takes time. Having a friend to help cinch up the laces makes the process faster and also gives you a second opinion on items. ;)