My sister lives in Las Vegas so I order ammo from Palmetto State Armory or LAX ammo and have it shipped to her house before I head to Vegas.
You can try Walmart - when their russian steel ammo is in stock it is usually the cheapest ammo you can get locally.
Or try Sportsman's Warehouse off of Ann Road, they have a large selection and usually have what you need in stock. They are not the cheapest but during the Election scare they did not raise their ammo or firearms prices to gouge customers. This store is actually on the way to the range is its convenient if you don't have any ammo or forgot to bring something.
The Clark county range actually sells ammo too, not the best pricing but not outrageously expensive too. They also sell Targets(probably over 15 to choose from) ear and eye pro for cheap.
Last - Stay away from Bass Pro, nice store but prices suck and ammo selection is not that great. Usually go there to check out the aquariums with my son and usually leave without buying anything. If I had to choose between Sportsman's Warehouse or Bass Pro, definitely Sportsman's
