Stayed in Vegas for 5 days, 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. My recommendations include 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 menu is almost entirely different). I highly recommend the molten chocolate cake (see my pictures and you'll know what I mean).