A quickie wedding eh? Congrats!
Weather in March can vary as much as a lucky streak to a loosing streak. We've had days in March in the 80's and we've had days in the 40's. It's really a crap shoot. (no pun intended). As far as shows go, I'm the wrong person to ask, but I have never heard anyone say they saw a bad show in Vegas, just kind of depends on your taste in entertainment. As for where to stay, this city has been hit by the economy like every place else, so my suggestion would be to start calling the major properties now and book early while the room rates are extremely low. I've heard great things about "The Hotel" at Mandaly Bay, but I'm a bit biased toward Caesars Palace.
Good luck and a wonderful life of marital bliss!