First we must remember that here in the U.S. you are obligated to report all your income (with few exceptions). The issue most people are talking about when they ask why or when they need to pay tax on winnings is really about when the Casino has to report your winnings and/or withhold taxs from your winnings. (Because we know that most people will not report or pay taxes on their winnings if the Casino does not report the winnings BUT IF YOU ARE THE IRS I PROMISE YOU THAT THE REASON I HAVE NEVER REPORTED ANY WINNINGS IS BECAUSE I HAVE NEVER EVEN WON A PENNY).

Here are some articles about the casino taxation issues:
http://www.gambling-law-us.com/Articles-Notes/W2Gs-debunking.htm (I suspect Jim Perlowski will disagree with this one)

http://www.gambling-law-us.com/Articles-Notes/Gambling-Session.htm

http://www.gamblingandthelaw.com/columns/145_taxes.htm

http://www.ruschlaw.com/gambling.htm