I've heard about two shops in Las Vegas, but I haven't had the chance to visit either one yet. I wasn't into knitting yet the last time I was in LV, in August.
Gail Knits - closed Sundays and Mondays, located on the west side of town.
Wooly Wonders - along with yarns they have spinning and weaving supplies, open Mondays, located on the east side off the 515 freeway.
Hope that helps!