If you are on a budget I'd suggest Las Vegas
Note: Even if you are not into gambling there is plenty to do. Kinda warm this time of year, easy to get around, lots of shows, free entertainment, and good dining options. You can get cheap ass rooms during the week. I've stayed at the Palms for 80 bucks a night. Nice place but the location sucks since the strip is on the other side of the interstate. You should be able to find cheap hotels on the strip like the Luxor or something.
I've also stayed at the Trump's hotel, which is really nice. One of my favorite spots is the Platinum. It's not a casino and is located just behind the strip.
If you are a real tight ass you could stay way off of the strip at a local casino like Arizona Charlie's or something. 25 bucks a night or something.
Grab a steak at Vic and Anthony's at the Golden Nugget. - That's not a budget place. Never mind but its really good.