I don't know of any ot the off strip stores that the locals would go to for good bargains an so forth.
However, I did see a neat wine shop in the shopping mall that connects the Mandaly Bay to the Luxor. It was called 55 degrees or 57 degrees or something like that. They had a wine tasting bar and a retail bottle shop. They had quite a good selection, including some older vintages. Everything was selling for full retail price, so don't expect any super bargains, but the prices did not seem any higher than full retail. The place had a hip atmosphere and was very upscale. I bought a couple bottles of 10 year old Bordeaux there and took them to a local restaurant with a corkage policy. Most of restaurants in the the fancy strip hotels in Vegas now have great wine lists, but they are charging huge mark ups in many cases, much more so than the
"regular" restaurnat mark ups.
Wish I knew of some others, but at least it's a start.