On the plus side, fishing equipment is all good to go and it's way cheaper in the USA. You can buy fluorocarbon 100% line for like 8 bucks, where it's $20+ here. I usually pick up a plastic toolbox or tackle box and STUFF it full of lures. I have a box at home big enough to put a computer in full of bass and trout lures that I paid about $30 bucks for.
I'm a big fan of rear drag reels, but they're typically found on lower end offerings. There was a nice Shimano reel here for about $89.00 that I got down in the USA for like $60.00 and the dollar was $1.10 when I bought it, so I got about 5% off.
Those Winchester knives you see at WSS for about $30.00 I got for $6.99 at Wal-Mart in Mississippi. Children's clothes for kids 0-6months are like 60% off. You can also get Count Chocula in the USA so I bring a box or two of that back from piggly wigglies.
I wouldn't stress so much about the gun stuff. Limit yourself to accessories and you'll be good. Just remember that brass casings, bullets, primers, etc are all classified as ammo.
If you're flying direct to Vegas, the airport has slot machines and you can smoke anywhere.
The biggest pro-tip I can give you is to buy a stupid amount of patches, you're going to use them eventually and they're like 75% off down there. I have a few friends that work at the distributors and gun stores here in Canada and I'm telling you, you can buy stuff down there cheaper than the middlemen here buy it for, especially accessories.
If you're coming back via Seattle, there's a good deal on right now for Grant's scotch at the duty free in the S wing part. There's also this retardedly hot Ukrainian girl that works there. If you go through detroit, they have all the different types of Patron on for $42, $44, and $46 respectively.