While the clubs in Vegas are always fun, I'd suggest being out on the strip at midnight, then going to a club after that. On NYE, the strip is completely closed to traffic allowing everyone to walk out in the street. Each hotel fires off their own fireworks show making it a hell of an experience. Basically, get your pre-party on in the street with the crowd and fireworks, then head to a club. Just be sure to make a reservation at a club well before your trip, as most people waiting in lines for clubs on NYE probably won't get in.
Delivered in Munich, broken in on the Nurburgring.