I like McGhies. They deliver to some hotels. (At the Red Rock resort I called ahead and the bike was waiting for me at the Bell Stand.) And they have a choice of several higher end bikes.
http://mcghies.com/about/road-bike-r...2010-pg459.htm
Plus One on the Red Rock Loop. Once you're out of Vegas, there is little traffic and the scenery is good. Once you do the loop you can continue onto to Parumph if you want a longer ride.
Another possibility is Mount Charleston, but the weather may not be suitable for that this time of year.