I've been to Vegas once, and Atlantic City a number of times. I usually play blackjack, and the occassional machine, and that's it. Some key tips?
Only gamble money that you can afford to lose. In fact, think of it as spending money, and that's it. It's money that you're using for entertainment, and no more. If you start using money that you might need for something else (hotel, rental car, rent, etc), then you've got a problem.
As for winning and losing...both happen. The odds favor the house, otherwise they wouldn't be in the casino business. I've won big and lost big. There are definitely some rules that you should keep in mind.
-Don't play poker. Only play poker with people you know. Otherwise, you could be walking into a setup, where several people could be playing in a cooperative fashion. If that happens, they could really taje you for a ride.
-If you play blackjack, learn basic strategy. Also, playing at more expensive tables is usually better. Why? Because fewer players means fewer variables in terms of what cards get drawn, and patterns in the cards are a little easier to pick up on. And finally, in blackjack, if you win a hand, don't stay at the same bet level. Increase your bet with some of the money you just won in the previous hand. This is called progressive betting, and will help you win if your luck and the cards hold out.
-One last tip: if you win, and you've made 10% or more of your bankroll in your winnings: walk away. Call it a day, and spend it on a meal, or something nice, and quickly.
That's gambler's 101 according to Nicklab. Hope I could be of help.