Not using a player rewards card
Most casinos are owned by some larger conglomerate, like Harrah's or MGM Resorts International. For you, that means playing at a casino that's part of a larger group of casinos can pay off in comps. What are comps? Well, depending on how much money you bet, and how long you play a given game, you accrue free stuff. Sometimes, that's just a sandwich after a few hours. But sometimes, it can be a free room in a nicer hotel. I've played enough time in one casino in Windsor, Ontario, to get free rooms for several weekends in Vegas. And I don't even bet that much.
Not asking for comps
If you have a player rewards card, guest services and managers are out to give you a pleasant experience, and that often translates to additional free stuff. By simply asking, "Can I get my room comped?" or "Can I get a free buffet?" you stand a much better chance of getting better freebies. You have nothing to lose -- they might say no. They might also say yes. And free prime rib and key lime pie are the best prime rib and key lime pie.