Each location is a "dedicated" show. What I mean is each location has a show tweaked a little bit differently for that location. Each location has its own cast (although the "original three" blue men will sometimes actually perform there - I believe their home location is Boston). I've seen the Vegas show and it is killer. I'd spend the dough to see it once a month if I lived out there.
The Blue Men don't "tour" their show as it is too elaborate to move around. They did/do a traveling "concert" at different venues but it wasn't really one of their "shows". It was a concert to go with their CD a coupla years back.
I can see how some people with no sense of humor or love of music may not like the show. I have both, and the show was excellent.