I think I pinpointed what I liked about Vegas. Sheppard reminded me a lot of early Oneal. In early SG1 and the original movie Oneal had a mission to complete but that was it. He was still hurting from the loss of his son and marriage. He didn't care much for anything past the orders to complete an objective. And he didn't mind if he got killed in the process. There was always the dynamic between him and Daniel, whom I would credit for giving Jack back more of his humanity and caring for more things.
I think we saw a similar line in Vegas with McKay trying to get John to care again. Talking about how he had tried to save the medic who was also his girl friend but had led to more people dying. We saw John is a lonely desolate place but we also saw him turn that corner on his road back.
But I think another great part was the very end. I have said this before one of my biggest complaints about Stargate in general, no one ever stays dead. I loved that there was no miracle transport or something like that at the end, he just slipped away.