In a Casino, at some point you have the cold hard cash in your hands. This makes a big difference. Secondly, there are lots of barriers in your way, for example maximum withdrawl on debit cards, actually having to queue up for cash for the nth time as supposed to just clicking a button, actual time to mentally prepare (you need to get there, plan your money - it's harder to 'impulse' gamble from location x) etc etc.
Stock market by far was the most damaging, and the most exciting especially when you get into leveraged forex plays or options. The big barrier here for joe public though is the order of magnitude higher complexity to actually make a gamble over an easy to understand proposition (like a horse).
For now stock market gambling is probably OK due to it's general inaccessibility, but there is a big move into making it more accessible: so called "Social trading" for example.
The platforms are significantly more accessible to average punters who I believe are going to increasingly start using these services for gambling, because these places are actually thinly disguised gambling houses. The spreads they offer are ludicrously expensive, the promotions they offer are aggressive (and borderline scam), and the marketing message sucks people into a false sense of security about what activity they are actually engaging in. This is in my opinion the big danger in the future. It's hard to lose your house at a casino in one go, or with online poker. Plausible to lose your house in one single bet gone wrong in Forex/Options and the social trading platforms look pretty and friendly.
'Social trading' in my experience and opinion is pretty damn irresponsible, and is executed pretty damn unethically. What benefit the offer society and their users I've yet to see apart from getting a nice adrenaline fix.