I only gamble "regularly" in 2 ways:
1. I buy an occasional (like 1-2x a year) Powerball ticket when the jackpot gets enormous. The $2 I spend on 1 ticket is trivial, and I get a couple daydreams about which sports cars I'm going to buy and what my Maui beach house will look like :)
2. I do 2 office sports pools every year, 1 $40 Fantasy Football league, and 1 $20 NCAA March Madness Basketball bracket. I love watching both sports, and the inter-office trash talking and banter and such is fun and worth it to me. Plus, it gets you more involved in the sport when you have a little something riding on it. I never plan on winning these, and consider the buy in just entertainment money. We also do a draft night at someone's house, and a couple happy hour trips to the bar at the beginning and end of the season, so you're buying into that entertainment too. There's a fairly substantial waiting list to get into our Fantasy Football league (restricted to 12 people, like 5 on the waiting list).
I guess 3, my mom usually puts some scratch offs in everyone's Christmas stocking every year, and we all sit around the breakfast table Christmas morning and see what everyone won, usually a couple bucks on about $20-30 worth of tickets overall. We then role those winnings back into more scratch-offs until all is lost. Plus I've been to Vegas and other casinos and probably spent, lifetime, $250 on slots and table games, but that's very irregular.
For me, the "problem" is that I'm not enough of a gambler to play enough to win anything substantial. So if I go to a casino, I am not going to play more than like $50, and you're never going to win much playing that much. Even if I got 10x winnings, I've now got $500 and risked $50 to get it? No thanks. Same with scratchoffs and other local lotteries; $1 for the chance to win $10k or $20k? Yeah that money would be nice, but it's not nearly enough for me to make the wager. Versus the off chance to win several hundred million, THAT is worth $2 to me, even though the odds are tiny.