The subject line says it all. I just got back from a week in Vegas over New Years... I thought about writing a trip report, but I found plenty of great advice on here. I followed the advice given and was thankful for it. The one thing I didn't get clear advice on was renting a car... so I wanted to throw my two cents in. DO IT.
The exceptions to this rule are this: if you're staying on the strip (especially in the middle of the strip), staying for 2-3 nights only, or you're planning most of your gambling/eating/shows all at the same resort... MAYBE skip it then.
I got a mid-sized car from Thifty for $120 for 8 days - no problems at all. We were staying about a block off the strip, walked a few times - but mostly drove. Valet is free everywhere (but it's tacky not to tip $2 min)... don't even bother with the self-park, just save yourself the time and headache. Vegas is the EASIEST city to navigage I've ever visited.
I'm a big gambler / show person... but my highlights from the week were getting away from the neon sunburn and driving 45 minutes to Hoover Dam and Red Rocks Park - what awesome contrasts to the strip. And the nicest casino? Red Rocks - best visited via car (taxi would have been pricy)!
Anyway, you may stay in a different location for a different ammount of time... and like different things than I did... but I think you'll find a rental car a good value, especially with gas prices low again.