Coming in at #3 on my list is Penn & Teller at the Rio.
Even the preshow entertainment is good. Penn and pianist/musical director Mike Jones play jazz while the audience is encouraged to come up on the stage to see a large crate and sign a manila envelope, both of which play important parts in the show. Show up early so that you have time to enjoy the music and go onstage.
The show has magic, comedy and audience participation that doesn’t embarrass anyone. It does evolve as they add new tricks so it is worth going again even if you have already seen them (and liked it). The most recent additions are the helium balloon trick which is featured in most of their current marketing and teapot, which is downright elegant. They always end with the Magic Bullet where they each catch a bullet with their teeth. This is a family friendly show and they usually get a child onstage for their Bill of Rights skit.
The show runs about 90 minutes without an intermission. They do a meet and greet in the lobby after every show where they sign things, pose for pictures and give you as much time with them as you need (within reason, of course). There is also a gift shop in the theater lobby where you can buy their books, DVD and other memorabilia. It is open before and after the show.
Performances are Saturday through Wednesday at 9pm (Dark on Thursday and Friday). They do occasionally take breaks to work on their other projects, so check their website for the latest schedule. Tickets range from $82.50-$104.50 plus tax and fees. I suggest seats as close to the front as possible. That means buying the higher priced tickets, but it is worth the small price difference.
The show is worth the regular price, but if you look you can find discounts. Penn & Teller is on the list of free shows for Total Rewards Diamond and 7 Star players. TravelZoo has had discounted ticket offers from time to time. If you are staying at a different Caesars property, you will probably find a Penn & Teller show discount coupon in your check in booklet. Southwest usually has a 2-for-1 discount code in their inflight magazine.