I'd like to start with a warning of sorts.
Unless $30 for a VSG sounds reasonable to you, avoid all casino cigar shops. Unlike most, I don't begrudge these shops for charging what they do. I'm a free-market kind of guy, and it's not overcharging if someone's willing to pay.
One exception to the above is indeed Casa Fuente. While their prices aren't what you'll pay off the strip they certainly aren't anywhere as egregious as some other outlets on the strip. And baked into this pricing is a sort of "ambiance rental" surcharge. Just like paying $400 for bottle service at the clubs, you're not paying for the liquor, but rather the real estate. And given todays stifling anti-smoking atmosphere I have to admit there's something cathartic about enjoying a cigar with a mojito/scotch/coffee in the middle of a mall.
Note: I'm not a fan of their house brand cigar, a bit dusty tasting to me. Additionally, most people don't realize you're allowed to bring your own sticks as long as you're ringing up a bar bill.
My humble opinions as a local:
Personal favorite (admittedly biased): Pheasant cigars on Sahara across from the now-infamous Palace Station casino. The owner, Paul, is one of the friendliest individuals I know, and extremely knowledgeable. His humidor is extensive and Pepin-heavy. Prices are very reasonable. An added bonus: he doesn't hover... on your way in the humidor he'll tell you to holler if you have any questions and then you're free to browse, sans chaperon.
The CigarBox is indeed open and located just behind the Palace Station. Pretty good selection and pricing (best pricing for Padron 1926 and 1964 in town I believe). Never actually sat down to smoke as I always felt like I was interrupting. Owners (Frey boys) started the aforementioned Casa Fuente but here you won't find that ambiance surcharge (or exquisitely-attired ladies).
Tobacco Leaf: both locations are a considerable distance from the strip. Not a fan of the location on Eastern, again I always feel like I've interrupted a serious meeting when I walk in (not to mention I suspect they don't keep their humidor properly). Not so with the Lake Mead store in the northwest of the city. Decent selection and pricing, and I never feel unwelcome.
One store I would avoid is Havana cigars on Paradise, semi-near the Hard Rock. Selection and pricing are deplorable, and staff is for the most part condescending and incompetent. Only bonus is the attached wine bar.
Again, just my opinions. If you'd like them on anything else Vegas-related, let me know... as I'm trying to do my share to bring the Vegas back to Vegas.
Schuyler