Michael Phelps -- Going Out in Style

Most people get a gift certificate and cake when they retire -- Michael Phelps spends the weekend in Las Vegas partying his face off.

The greatest Olympian of all-time hit up Surrender Nightclub and Encore Beach Club to celebrate his retirement from competitive swimming. Joining him for the weekend were a few of his friends, including Olympic gold medalist and training partner Allison Schmitt.

Phelps partied with two famous DJs during the weekend -- Afrojack Friday night at Surrender and David Guetta on Saturday at the pool.

As TMZ first reported, Phelps' Vegas trip began earlier this week when he won $100,000 playing poker.