Needles & Grooves

Not really "must". There's Zia, 11th St (in VMPs book but, well, it's also in VMPs book), 2 Record City (staff is great, not must) and Wax Trax. Wax Trax is perhaps the most famous/infamous depending on who you ask. Owner can be divisive. Huge selection, bad pricing.

There are at least two Zia's. I prefer the one west of the strip but only because I've never found anything good at the other one. Also 11th Street Records downtown at Fremont Street. And as dumb as it sounds, I think I've found the best vinyl deals at Urban Outfitters outside Planet Hollywood. They always have a lot of clearance stuff.