not a vegas movie but a great vegas scene in "lost in america" with albert brooks. his wife loses their nest egg playing roulette and brooks' character tries to convince the manager to give it back and thus create a new image for vegas as a city that cares.
"casino" is up there, of course anything with de niro and pesci is hard to pass up. although not a comedy one of the more humurous scenes is when the local cowboy/power broker tries to get de niro to hire his nephew back, after allowing thousands to be siphoned from the slots.
anyone remember this old (70's) one with Ryan O'neal doing an investigative journalism piece to see what it is like to be a degenerate gambler, then he turns into one. I've been trying to find it but nowhere to be found at blockbuster