You can find free camping down by Mount Potosi.
If it's super busy in Red Rocks you can head down to the Keyhole Canyon/Nob Hill/Christmas Tree Pass area south of Vegas and climb granite with no crowds. This might be a good area to go for your desert hike.
Jubilant Song is an awesome route that is never busy. In fact there are tons of moderate routes that are as good, if not better, than 'the classics" but that see no crowds. The classic routes are the best place to find booty, though.
There are some awesome free hot springs in canyons near the dam.
Blackjack table offers the best odds if you know what you're doing. Poker is a game of skill and in Vegas it's probable that someone at the table will be more skilled than you.