I have no personal experience with illegal gambling but also find it fascinating.

A good thick book that covers the subject and many others is Scarne's New Complete Guide To Gambling. It's pretty much obsolete now but it's a valuable comprehensive historical reference on gambling.

E.g., he documents the origin of the Don't Pass bet in Craps invented by the ironically named John Winn:
... Winn also improved the banking layout of Bank Craps.... He drew a space on the layout "just a little piece off on one side," and lettered in the words Don't Pass. This was done in Philadelphia, to which Winn used to commute weekends, and the layout came to be famous as the "Philadelphia layout," the first Bank Craps layout to give the players an opportunity to bet the dice to lose....
The genius of this was that it reduced the amount of cash the operator had to have on hand because the losses of players betting on Don't Pass would now help him pay off the winners betting on Pass [[and vice versa).

Scarne also thoroughly documents how carnival games are rigged. This is where I learned the darker secrets of the High Striker. One of my ancestors manufactured these machines locally.