Definitely a Vegas activity you should check out. The winter months are probably the best time to go. I read it can get hectic and you have to put your name on the list early to get some Pad Thai, etc. but that wasn't the case when we went last sunday (Dec 22nd). Although someone told us there weren't as many stalls as their usually are.
I couldn't tell you what most of the things I got were called but I'd recommend trying to find the "soup"...it has noodles and a few greens in broth with pieces of chicken, duck, and some balls of some other meat or possibly tofu product. If you go and it's busy and aren't able to get Pad Thai don't be too upset...I didn't think it was that amazing.