Stay at the Luxor. It is cheaper than Mandalay Bay, but close to everything. It's not the nicest of casino's, but the location/price are good. You will not spend time in your hotel. Also check out NYNY and Monte Carlo. My friends all get great deals when they stay there. Monte carlo has a GREAT pool too.
As for clubs, Print this:
Sunday: Light @ Bellagio; Risque @ Paris
Monday: Foundation or RumJungle @ Mandalay (both)
Tuesday: Tabu or Studio 54 @ MGM
Wednesday: Venus @ Venetian or Ra @ Luxor
Afterhours China Grill @ mandalay
Thursday: Babys @ Hard Rock or Rain @ Palms
Friday: Anywhere; Prana @ Aladdin
Saturday:Anywhere; Ice