GameWorld is cool, but overpriced (was fun to walk around in, however). I'm not sure if they have opened in the new location yet (by TRU on Meadow's Lane & Decatur) however. Wii Play Games seemed to have decent prices (off Nellis if I remember) . Gamer's Paradise (Tropicana & Spencer) and some place on Sunset & Pecos (I forget the name) are over priced but GP is definitely the better of the two. I'm disappointed in the local scene here but you can find stuff at local thrift stores occasionally. I managed to get n64 goldeneye and ocarina of time for $2 each but haven't found anything worth while since.
There is also a spot called BuyBacks right next to Savers on Decatur & Sahara (& one in Henderson but I've never checked it out) that is overpriced on a lot of games (super mario kart for $60) but sometimes they have decent prices; just gotta look. There are two Zia's as well (around the corner from BuyBacks and another off Eastern & Flamingo) that sometimes have decent retro games but I haven't spotted much recently. Lastly there is a spot called Game Repair on Tenaya & Cheyenne that has a decent selection but i've never paid their prices. I've pretty much bought all my retro games off Craigs or ebay; always seem to be significantly cheaper than what I find in the local shops. But good luck, let us know what ya' think!