I know if I go into a casino and win a lot of money, they have to tell the IRS and I have to pay taxes on my winnings. Does this mean if I go to a casino and lose money, I can call it a loss on my taxes?
You can deduct gambling losses.
You can generally only claim gambling losses up to the amount of any winnings.
http://www.irs.gov/uac/Newsroom/Five-Important-Tips-on-Gambling-Income-and-Losses-1
Edit-and you should probably be keeping records if you’re claiming those losses.
Only against your winnings. If you just show up and lose a bunch of money, you don’t get a deduction.
Okay, if I lose a lot of money gambling, can I count it off of winning in the stock market?
“Winning in the stock market?” 
Not sure if you’re joking or if you think that buying securities is actually a form of gambling.
In a way it most certainly is, but that doesn’t answer my question.
I guess “gains” might be a better word to use.
In a way, yes. But no, you can’t write off Capital gains vs Gambling losses.
You can not deduct gambling losses against capital gains. You can only deduct capital losses against capital gains. Capital gains and losses involve a lot more than just stocks, though.
I doubt that you could offset your casino win against the loss in value of your house either:)
That was actually my next question.
No.
Even if you argue that stocks are a form of gambling, the bottom line is that it’s a different type of income. Gambling winnings are ordinary income and losses are personal/other itemized deductions. Capital gains/losses are both a sub-type of investment income.
I won’t attempt to outline how the various types of income interact with each other, but it’s very common to see rules that group income types to interacting only with similar types. Passive losses deducted only from passive income. Capital losses deducted only from capital gain. Investment losses limited to investment income. In my education about tax law, finally gaining a comprehensive understanding of this hierarchy of income types was a sort of Eureka moment that turned a collection of seemingly arbitrary rules into something that was (almost) logical and predictable.
People misunderstand what “you can deduct gambling losses” means. It just means that you get taxed on the net result of your gambling.
Let’s say you’re playing blackjack. You bet $50. You play 21 hands. You lose 10 hands, and win 11. So you lost $500, but won $550, for a net result of +$50.
If only your winnings counted, and you couldn’t deduct your losses against them, you’d be taxed on the $550 even though it’s only a net gain of $50. So of course you deduct your losses - 550 - 500 = 50, and that’s your taxable income.
At least that’s my understanding. People who misuse this idea seem to think that if you go out and lose a lot of money, you don’t owe any taxes anymore on your income.
Not to nitpick, but I pay income tax on my stocks, not capital gains.
You might pay income tax on dividends, but if you sell the stock for more than you paid for it you will pay capital gains. Or you need a new accountant.
You pay income tax on stocks if you receive dividends (in which case you are paying income tax on the dividend payment, not the stock itself) or if you receive shares as part of your compensation. If you sell stocks for more than you bought them for, you pay capital gains taxes on that profit. If you sell at a loss, you can deduct that loss from your capital gains. You don’t get to deduct it from your earned income, or gambling income.
The length of time you held the stock dictates whether you use the short term capital gains tax rate or the long term capital gains tax rate.
Some of what you say is true only for certain types of gambling, but it would be wrong for other types of gambling.