Well, there are plenty of game stores here in Vegas. Just like any other city there are plenty of EB's and Gamestop's around. Not to mention Gamecrazy's (ugh). There are also Bestbuy's, Circuit City's, Walmarts, Targets, K-marts, Toys r Us's and pretty much any other normal store you would find anywhere else.
As far as The Strip it self is concerned, the EB in the Fashion Show Mall is the only place on The Strip itself to buy video games. There is a Fry's on the south end of Las Vegas Blvd (Strip) south of Mandalay Bay near the end of the runway of McCarran Airport. There is also an outlet mall just south of Fry's a little. There is also an outlet mall near Downtown, north of The Strip (it's a good ways away).