Besides your hotel swimming pool and gym, there are a few other ways to work off the calories from the famous all-you-can-eat buffets.

Las Vegas has several decent golf courses (and mini golf courses). There's the Fiesta Ice Arena, an excellent climbing gym, and a multi-use Sportspark. Several chains have local gyms, if you need to run on a treadmill and your hotel is lacking.

Las Vegas is also famous for it's boxing matches, and it's sports betting- not quite as healthy perhaps, but fun things to check out.

Right outside Las Vegas are several National Parks, with great hiking, camping, and nature trails. 

In almost every hotel there is a spa that offers facials, nails and body treatments. The spas in the bigger resorts very nicely done up with separate facilities for men and women. If you do not want to have any treatments, you can use the steam rooms, sauna or whirlpools. Some resorts offer free use of the spas to their guests or charge a nominal day use fee. Going to the spas is one of the highlights of being in Las Vegas.

If you are up for something different, try riding off road on ATV. Guided tour are provided for inexperience riders. 

If all that sounds a bit too 'wholesome' for you you have to jump in a cab from the Strip and head off to a Gun Shop!  Normally there are ads for these places in the back of the cabs.  Superb fun - you can pick a target from Sadam Hussein to Bin Laden and under expert supervision fire of a couple of rounds in a sub-machine gun or whatever takes your fancy.  Sounds seedy, and in a way it is - but it's superb fun.  Go in groups then you can take your targets back with you and show everyone if you did well! 

Finally, there are always the shows- circuses, jousting, adult revues, magic, music, and many that defy easy categorization (Blue Man Group, Cirque du Soleil, etc).

And don't forget the NASCAR race track. Try the Mario Andretti School and be driven around the track in an F1 equivalent car at 'face-altering' speeds, or drive yourself, after training, in a less powerful car.  Good value for money especially to say you've driven on that track.