We have been to Vegas several times with our girls (now 10 and 7). Mandalay Bay is awesome, but if you are looking for a more economical hotel with a great pool (not as cool as MB, but still tons of fun) check out The Flamingo. The Flamingo also has the benefit of being mis-Strip, so much easier walking access to other areas (especially Caesar's Palace and the Forum Shops). Mandalay Bay is at one end of the Strip.
My only real complaint about doing Vegas with kids is that none of the kid-friendly attractions open until 10am! While my 10yo is more willing to sleep in now, both my girls were early risers when they were younger. We would be ready to go by 8 or 8:30, nothing ould be open yet (other than the casinos).
Also, do not linger in the casinos! Security will definitely move you along. We had one trip where we ran into some friends and stopped to chat. About 2 minutes into the conversation, security asked us (they didn't have kids) to move along. They were very polite about it, and it was obvious we were not gambling, just talking. But they are very serious about keeping kids moving through casinos!
We've done just about everything listed already. There are also roller coasters at a few hotels (NYNY, Stratosphere and Sahara come to mind, but they have height restrictions, so double check that). Also, Sahara has NASCAR simulators (another activity with height restrictions) that are quite fun. And if you have a car, check out the See's Candy factory tour. Everyone gets a free sample during the tour which is also free. And of course the tour dumps you in the gift shop to entice you to buy candy as well!

M&M World is a blast, but watch the cost. You pay by the pound, and it can get exspensive quickly!
Overall, Vegas is no longer trying to be a "family" destination, but with a little research, you can find tons of stuff to do with kids!