california magazine, berkeley's bimonthly publication on leading-edge research being done at the university, came out with an interesting article in it's summer 2008 issue. according to the research, gamblers may lose more money because they allow unpredictable emotions to run unchecked and block their otherwise good judgment:

[...]in the first [experiment], participants planned two bets in a roulette simulation. after the outcome of the first bet, they could either stick to their plan [to stick to a budget] or change it. the researchers found no noticeable pattern among those who won the first bet, but, says [business professor eduardo] andrade, "about 40 percent of those who lost deviated [from their plan], and within that 40 percent, 90 percent bet more than planned. and that was a huge effect."

andrade... thought the observed behavior might be explained by something decision theorists call the "hot-cold empathy gap"-- that is, our inability to anticipate how miserable we'll feel when the worst happens. indeed, when asked to predict how they would react emotionally to a loss, 70 percent of andrade and [colleague ganesh] iyer's subjects underestimated how bad they would feel. [...]

so if emotions were playing a role, andrade wondered whether they could be manipulated in a way that would affect behavior. to test this, he and iyer rigged the game so that everyone lost the first bet. then experimenters feigned technical difficulties. while subjects waited for betting to resume, they were shown a short video clip-- a neutral documentary, a drama, or the sitcom friends. when it came time to make the second bet, the people who'd watched friends behaved as if they'd won, while those who'd viewed the drama or documentary exhibited no discernible change.

so, what this research suggests is that going to las vegas with a budget is useless to you unless you win all the time. if you think you might lose, a budget won't be as strong a defense against bankruptcy as, say, a positive attitude and a good sense of humor.