If you're in Las Vegas, the National Atomic Testing Museum is very worth a visit. The last time I was there they had a traveling exhibit of Soviet nuclear propaganda that was fascinating, and there's a lot of info on Trinity and other testing sites. I found the quality of the exhibits to be very high.
One of my favorite museums! It's small, but super well done -- and has a gift shop filled with neat little stuff (like the Fatman + Little boy earrings I bought for my girlfriend (which I thought were way cooler than she did...))
I generally avoid Vegas like the plague, but if I ever go back, that's on the top of the list to visit again.
