I enjoy gambling a few times per year. People tend to find that unusual since I'm an engineer who utilizes statistics almost every day in my workplace, so I'm well aware of how it's usually a quick way to lose a bunch of money, and I'm very careful in other aspects of my life with money.
The way I usually reply is, I few gambling as consciously spending on entertainment, NOT a way to win a lot of money. I love the atmosphere, the free drinks, the energy of a cheering table, but with anything willpower is required and it's not something you do if your hair-is-on-fire.
My usual budget is ~$100-$200 (for gambling) per trip. I'll take I'll sit at a low minimum bet ($5 usually) roulette table or a blackjack table (I find slots boring and never got into poker much), and make reasonable bets, sometime the minimum, sometimes more.
I play until I double my money, or lose all of it. If I turn $200 into $400, great! I walk away with quiet satisfaction and that gets put back into the bank account. If I lose $200 that's okay too. Like I said, conscious spending.
I don't play slots or buy lotto tickets so I'll never be one of those million dollar jackpot winners, but cranking on the slot machine for hours chasing that dream is not why I enjoy gambling.