Paid show like 'The house of dancing water' at City of Dream are very good, a lot cheaper than similar Las Vegas shows.
At the lobby of StarWorld Casino, they have free shows with dancers, singers, comedy which normally run in the afternoon to early evening.
Wynn has free performance lake show, not quite like the fountains of Bellagio but still quite good. Also there are the 'Dragon of Fortune' and 'Tree of Prosperity' show inside.
As for Sexual show, just take a read of the sauna review in the Macau section