In Las Vegas they can read you the tresspass act and tell you that you will be arrested if you return to the property. That's about it, from a legal standpoint. If they ask for your ID, you can say no. If they ask you to remain on the premisis, you can leave. If they force you to go to a backroom, you can file felony abduction charges. However casinos often illegally transmit your digital image, your financial information, and other private information, without your consent in violation of the Gramm-Leach-Bliley act (see article by CardKountr on this site).
And more, of course.
--Mayor