One thing I always ask for, if the room isn't already comped, is an adjustment on my hotel bill just before I check out. Some casinos use casino hosts or guest services for this function, and some still have this done from the pits. Call the front desk and ask what procedure you need to use to get your bill reduced based on your play during your stay.

Do this even when you're checked in at a reduced rate. The first time I stayed at the Paris, I made the reservation through a casino host, got a "casino rate" of $89/night for Super Bowl weekend. A good rate for sure, but when I went to check out, I asked the hotel desk clerk to call a host to see if I could get my bill adjusted (the bill for three nights was $360 including room service). She summoned a host, he took my players card and ran it through the computer system. He took my hotel bill and started putting check marks on it. When he was done, he told the clerk to only charge me for the remaining unchecked items. That $360 bill became a little over $30. If I hadn't asked, the desk clerk would have gladly accepted the full $360.

Don't be shy. You won't be looked down on, it's how the game is played. If you don't ask, well, it's your money!