There are three levels of regulation. An individual casino can be licensed in one or more places. These are:
State Level: At the time of writing NJ and DE have regulated casinos within their borders. PA has set up a licensing body, and NV has legal online poker games.
Country Level: Many countries have their own bodies for regulating casinos. These include the UK Gambling Commission and ARJEL in France.
International Licenses: Jurisdictions including Malta, Gibraltar and the Isle of Man are respected global licensing bodies. Other bodies like Curacao and Antigua also license casinos, though the level of oversight is variable.
I would never play at an unlicensed casino – and would never recommend this. State and county level licenses are the best bets. If your country does not license casinos (for example Canada), then choose a well-known brand which has a license from a respected jurisdiction, plus is active in the (stricter) licensed countries.