There are some risks:
- If you are in the US, it may be illegal to have a link to an online casino on your site. For personal and small sites is almost no risk.
- Many casino sites are involved in fishy link exchanging and link buying. When you link to them, you join their club. You have to make sure the site is ok in Google and with decent pagerank.
- Check your ISP and webhosting policy about gambling. There are few very strict about this and you risk your to have your site suspended.
- The authority of your site may be affected. The services you provide or content of your site may become questionable when you advertise gambling sites.