The Palazzo (Venetian's new tower) - because they are all suites and you can get them for $125/night.
Hard Rock was pretty nice too cause it's away from the craziness and in walking distance to Capriotti's sub shop.
THE Hotel at Mandalay Bay use to be awesome but then their rooms got trashed, fast. Wasn't worth $550/night.
Now if you get the chance ever, stay in the Parlor Suite at the Wynn. My favorite!