The question about what to do at Mandalay Bay is found in both shows and attractions. Currently there is one Cirque du Soleil show and one family friendly attraction at the Mandalay Bay Hotel in Las Vegas. Michael Jackson One showcases Cirque’s entertainment perfection combining music, dance, and acrobatics. The Shark Reef Aquarium is an amazing self-guided tour of exotic wildlife both above and below water. See all Mandalay Bay show tickets and attractions below with the best deals built in.