This page normally sends you straight to the ticket search I use. It's being switched over to a new partner, so here's the honest advice in the meantime.
Midweek, walk up to a Tix4 booth. There are six of them on and around the Strip and they sell same-day seats at a real discount — you just have to accept whatever is left.
On a weekend, or for anything with a name you recognise, book ahead. The discount booths are a midweek tool. On a Saturday the only thing left at the booth is the show nobody wanted.
See the event calendar