There is a pharmacia near Flamingo Plaza that has a great selection and great prices and a bunch of tequilas that you cant get in the states. Also- free tasting! Highly recommend the pomogranite infused tequila.
There is a "Walmart bus" that stops in front of the resort... definitely a worthwhile trip on your 1st or 2nd day there.
Hit the local markets. You will be able to do a tasting, sort of like a wine tasting, but with Tequila. We plan to make it part of our trip every year. The best Tequila I've ever had is: Quita Penas Crema de Tequila, but good luck finding it. If you do, it's worth whatever they charge....
I'll be on the look out for it! Tequila Quita Penas Crema HUGE 3 Liter Bottle Rare - eBay (item 380197636771 end time Aug-12-10 21:33:09 PDT)
The group that just got back this spring refer to that brand and bottle as the "Big Blue Dick". I remember reading a discussion of where its available (but I don't remember where they said). Someone might be able to provide you that info again......