There are times in your life when you make exceptions to your norm. Bachelor parties is one of those times. Never been to Vegas though, but I'm getting married soon and gonna be disappointed if I'm not drunk and gambling by the time my bachelor party is over.
Edit: The only problem I see with this is that your brother lives in Vegas, which means he's probably done all of the above. I'd want to do something different and out of the box for a bachelor party, so maybe an improv/cpmedy club is the way to go. Just don't do shit he can do any weekend of the year. Go skydiving/indoor skydiving. I'm sure there's a DZ somewhere nearby.
Edit: Here's a dropzone near vegas
http://www.dropzone.com/dropzone/Detailed/1357.shtml