Ben Sanderson (Cage) is a Hollywood agent who has lost everything because of his alcoholism. He loses his job, his family, and decides to commit suicide by alcohol consumption in Las Vegas. After arriving, he meets Sera (Shue), a prostitute, and a deep friendship and understanding develops between them.
The movie begins with Ben 'first' shopping for beer, then, in a restaurant. He borrows some money from his colleague Peter (Richard Lewis), and then proceeds directly to a bar and starts drinking. He attempts to pick up a pretty girl (Valeria Golino) and fails. After leaving the bar he visits a prostitute, and succeeds only in getting his wedding ring stolen. He is fired from his job for alcohol related issues and is given a large severance package. When his boss asks him what he is going to do next, Ben responds "I thought I'd move out to Las Vegas". He goes home and starts emptying his house by stuffing bedding in garbage bags, and creating a bonfire in his backyard on which he burns photographs, clothes, passport and other possessions. He then leaves for Las Vegas. As he drives his BMW drunkenly down the Las Vegas Strip, he almost hits a woman in the crosswalk (who turns out to be Sera) who chastises him. Ben checks himself into a sleazy motel called The Whole Year Inn. However, as he looks at this the wording changes to "The Hole You're In".
Sera (Elisabeth Shue) is a Las Vegas prostitute who works for a pimp, Yuri Butso (Julian Sands), a Latvian immigrant. Yuri and Sera "share a volatile relationship where Yuri is the dominator and Sera is the masochist." Polish mobsters are after Yuri for an unknown matter; therefore, Yuri breaks his relationship with Sera in fear that the Poles may hurt her. It frees Sera to continue to build her relationship with Ben.
On his second day in Las Vegas, Ben finds Sera, on the same street where he met her, introduces himself and offers her $500 to go to his room for an hour. Sera agrees to go to his room, but she gets confused when Ben does not want to have sex with her. Instead, they just talk, and in the process they create an odd relationship with each other. Their relationship, however, is ultimately doomed; Sera has to promise Ben that she will never ask him to stop drinking, and Ben is not allowed to criticize Sera's occupation. At first the two are generally stable. Ben states that he is "totally at ease with this (Sera's prostitution)." However, after spending some time together, they both become more and more frustrated with the other's behavior. Over time, Sera attempts to get Ben to eat healthily but Ben refuses to even notice these actions as he stumbles for more alcohol. Finally, Sera becomes so fed up with Ben's alcoholism that she begs him to see a doctor. Ben, furious but far too intoxicated to express his feelings, goes out and brings another prostitute (played by Mariska Hargitay) back to Sera's house. Sera returns home to find them together and throws Ben out. Shortly afterwards, she is raped and beaten by three teenagers, and the injuries she sustains make her occupation publicly obvious. After being evicted, Sera receives a telephone call from Ben, who is on his deathbed. She goes to visit Ben and they have sex. They fall asleep, and when Ben wakes up, he looks across at Sera, who is lying on top of him, and dies while holding her as she sleeps.