Yes, I have a few spots for you:
1. Luv-It Frozen Custard - don't miss it. Cash only. Closed Sundays. Check their site for flavors.
2. The gelato place in the Wynn. Get their strataciella + espresso over the top, called an "Affogato." OMG that is so good.
3. The International Marketplace on Decatur/Tropicana - has MANY candies (and other foods) from all over the world.
4. Freed's Bakery (Jimmy C is referring to below) - good traditional famous bakery.
5. If you need a break from the sweets, go to Sammy's Woodfired Grill and get the grilled chicken balsamic salad. I get the small with double chicken. People's heads turn, its still huge! And soooo good.
6. Ichiza - outstanding Asian "tapas" and I heard their dessert is crazy good. Yelp it.
7. The mustard sliders at Martini's on Ft. Apache are flippin' amazing! Go for Happy Hour.
8. Nothing Bundt Cakes - you have NOT had a cake like this. OMG. They come in party size and 1-person mini bundts. They put something magical in them! (mouth is watering now)
9. The sangria at Cafe BaBaReBa is... whew! so good!
If I think of any more I'll let ya know. ;) Have fun!!
You may want to try the desserts at Cafe Ba Ba Reeba at Fashion Show Mall. You can get an assortment of desserts that are only a few bites each so you can sample several of them. I personally liked the coconut cake with the sorbet on top. You may also be able to sit outside and enjoy the Strip.
Tintoretto's and Jean Philippe I would recommend also.
You gotta go to the french patisserie in Bellagio - called Jean-Philippe. It is right off the corridor leading to the newest hotel wing - well signposted. It has amazing pastry and all sorts of confections. Even if you don't want to buy anything, the huge fountain disgorging three types of molten chocolate is quite mesmerizing and unlike anything I've seen elsewhere. People stand for quite some time gazing at it. Enjoy your trip !