Red rocks is cool. I was there last March, very convienent, lots to hike, see and do. I know it by the climbing areas. Mescalito on the Southern end of the loop has some more remote places. A lot can be seen from the car driving the loop and it can be done in a couple of hours. Below are some snapshots with our P&S.
I am biased, and especially having German friends (more Europeans visit this site than Americans), I would go see the wave. 4 hr drive, one way. Totally worth it. Once in a lifetime experience.
Some pics I posted on "TPF" from there. I'm schemeing a trip to the Coyote Butte South next fall. Permit will be troublesome for you, but I would risk it (getting issued a walk in). If you do decide to risk it, worse case scenario is the world's longest slot canyon - buckskin gultch (can enter over the cockscomb at same place you would if going to the wave). if dry, 4wd not needed, we rode in on my "slammed" Grand AM badly in need of new shocks.
Zion Nat'l Park is within reach.
Other than that,
Valley of Fire State Park. Has some cool stuff.
There is suppose to be some amazing thing near Vegas that some nature photogs we met at the wave were talking about. Will let you know if I can figure it out.