Uhh, why not Vegas? I went there for mine and have been there for a few others, best place to go in my opinion. Love it.
As far as outside of Vegas, we did an Austin bachelor party with floating the river one day, golf the next, and partying it up at night it was good times. Guess you could do that just about any big city.
I've also been to a bachelor party in the Cayman Islands. We had a blast. Deep sea fishing one day, snorkeling the other, and a few bars/clubs to hit up at night. I'd recommend that as well.