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I would recommend the Jean Phillippe Chocolate shop in the Bellagio. Located just behind the Conservatory garden, which is also a sight to see, it contains the world's largest chocolate fountain and plenty of mouth-watering desserts, including chocolate.
http://www.bellagio.com/restaurants/jean-philippe.aspx
Most of the casinos will have some kind of dessert shop or candy store, but I think this one is one of the most impressive.
Also, many of the cafes within the casinos have desserts that you can get a la carte, and most have display cases right up front to draw you in. If you happen to be walking through a casino, don't forget to take a look inside the cafe to see what choices they have available.