Cosmo. I stayed here in October and loved it. Stayed at Mandalay Bay about 5 years ago and wasn't impressed with the service or the location.
A few reasons for Cosmo:
1 - Far more centrlized that Mandalay, very easy to access areas to the North (Ceasar's, Mirage, Paris, Bellagio, Hard Rock) and south (a big mall right next door, I forget the name), New York, Excalibur and MGM. A hot tickets booth is practicully right across the street
2 - Opt for a high level room with a balcony, no other hotel in Vegas has balconies. The one I had was up about 30 stories and looked out to the north and the Bellagio fountain. The views are magnificent, I would go back just for this feature alone.
3 - The food, although not cheap, was outstanding, not to say convienent! Lots of different cuisine's to choose from and, of course, the options at the nearby casino's are there for you too.
The only option that I liked better at Mandalay was the pool. Cosmo's pools are rather small and shallow, Mandalay has more options here. Depending on the time of year you are there, this may or may not make a difference.
Dolby1000