One time when we stayed in Vegas for 5 days, we ate at the Grand Lux 4 times. Yes, it's that good. Not only is the food scrumptious, but the menu is as large as the average American. It's causal, flexible, and you can have whatever you like, however you like it, whenever you like it. Poached eggs and a burger at 2AM? The Grand Lux can make it happen.
The food at the Venetian location tastes noticeably better. We had the Manhattan salad here once and the shrimp came juicy and grilled (which wasn't the case at the Palazzo location). My recommendations include the sliders, the miso salmon, the grilled veggie pizza, Chipotle avocado burger, the spaghettini with clams, and the calamari. The calamari merits its own sentence--we're talking squid, rock shrimp (think mini shrimp tempura), zucchinis, and onions. For the price, it's basically the best calamari you'll ever get.
Now, the Palazzo location has better desserts (the dessert menu is almost entirely different). I highly recommend the molten chocolate cake (see my pictures and you'll know what I mean). The Palazzo location, at least during the afternoon, also had a smaller menu listing mini appetizers (around $5 or so). We tried the haystack which was similar to the regular calamari appetizer, but stripped of the seafood--just onion strings and zucchini slices. The result? A vegetarian delight and now one of my new favorite fried appetizers to get! We went to the Venetian Grand Lux the next day hoping to order the same thing, but alas, no mini appetizers there.