For me, it is entertainment. I love the game, and if I am going to spend a couple hundred bucks on an evening, which is easy to do in Vegas, sometimes I prefer a show, sometimes I prefer the tables.
That's a great way to look at it - as entertainment. You can easily rack up a couple of hundred dollars a day on vacation. Given that you're parting with your money anyway, do what you like. If it's seeing a show, great. If it's taking risks at a table or a slot machine, fine. As long as you go into it realizing you are probably going to lose your money. You may come out ahead or even score big, but don't expact that. Set an amount you are willing to lose and go no further. When you go see a show or go to a football game, you don't go because of some doorprize they may be giving away. Same with gambling, gamble for the fun, not for a big payoff. Bottom line, look at any casino, horse track, even the lotto. The money is rolling into them, not being paid out to the players.
I worked with a gambling addict. He lived in a room above a bar and shared a bathroom with others who rented the other rooms. Because of his gambling, that's all he could afford. Sometimes he'd be up $100,000, then he'd be in the hole $50,000. It seems he never got ahead - or never quit when he was there. It was very sad to watch.
Addictions are terrible things. Just because you play a few scratch off games and it doesn't affect you doesn't mean the potential isn't there for you to become addicted too. Different types of gambling offer different thrills. The interest you seem to have in this may be a sign of that. Be careful with it. It's probably easier to stop an addiction before you get hooked than afterwards.
As for the people that are winning. Sure, that can happen. I've heard of people that make their living gambling. But probably more often than not, you are hearing of the winnings, but not of the losings. People brag when they win $1000 on a horse race, but they're often embarassed to tell you they lost $2000 last time they went.
I play for fun, but the analytical side of me likes to play with a strategy and rules to try to win. Sometimes it works, but other times I screw it up and I lose. I've heard blackjack has the best odds. But in reality, even with that, even if you use all the rules of when to hit and when not to, the odds still favor the dealer slightly. With some simple card-counting (knowing whether more low cards have been played than high ones and doubling your bet when this is so), you can tip the odds ever so slightly in your favor. Like maybe 3-5% over time.