It really depends on what part of Vegas you're in, and what part of Henderson you're going to.
The CAT is good if you have time to kill. It's the cheapest option, but you will wait at a bus stop for at least 20 mins in most places, except for on Las Vegas Boulevard. I stood at the bus stop at Eastern and Flamingo waiting for a bus for almost 30 minutes once. And another time I ended up just walking from my apartment on Flamingo up to Sahara (about 2 miles) because the bus that runs up Valley View never came.
Taxis are probably the most expensive way to go, since they charge $3+ just to get in, then $.20 every 1/11th of a mile (used to be 1/10th of a mile, but it's changed very recently). So if you're going 5 miles, you're talking $14 one-way.
If you're heading to/from a hotel/casino, then you might be able to catch a shuttle. Some places offer shuttles to destinations other than McCarran Airport. Many of the Station casinos offer shuttles between their properties.
The best bet is to have a friend/relative who can drive you around. I'm sure they may have something better to do with their time, but the money you'd be spending on a taxi you could buy them dinner instead... try the Prime Rib Loft at the Orleans, very good...