I'm another one who just LOVES vacationing in Vegas and I don't even gamble! I like to have a return on my money so whatever money hubby makes gambling at night, I spend during the day shopping!!! Lots of shopping in Vegas to be had. Outlet malls just on the outskirts of the strip or downtown, or even just the shops at the big hotels: Ceasars Forum Shoppes, the Dessert Passage shops at the Alladin... just seeing the different hotels are entertainment enough.
Mandalay Bay is on the south end of the strip but like the others said, you can catch the monorail to take you more towards the center part (i.e. Bally's, The Flamingo, Caesars Palace area). Or, just take a walk through the hotel, see the shark reef (very cool, and around $15?, maybe less for hotel guests) and head out and up the strip. If you go even halfway up the strip that's a good walking workout.
I've seen the Celine Dion "A New Day" show, pricey but worth it; Penn & Teller at the Rio was entertaining as well. I would recommend going online and researching the shows playing, or just grabbing a Vegas entertainment magazine as soon as you arrive. Tons of stuff to do and see, some free, some very expensive. It all depends on you. Good luck and have a great time.
p.s. another thing I like to do while in Vegas (especially if you have a nice room in a swanky hotel like Mandalay) is just stay in and have fun