I have been to all of the above as I lived in US for a prolonged period. Blue Man Group is an experience not to be missed, but if you have a choice, the NYC production is a better experience than in Vegas, based on the fact that the theatre is smaller and some of their 'audience participation' activities are therefore experienced more (I won't give it away, but the finale is great in NYC). If I had one show to see in Vegas, it would be Cirque de Soleil. The theatres are purpose-built for them and it is quite spectacular, especially if you combine it with a trip to the Wynn hologram show afterwards (free) 'O' is the one to see........