People generally gamble either for entertainment or because it’s a compulsion, so let’s look at each.
I think those who like gambling find it exciting and a safe way to get an adrenaline rush, much like riding a roller coaster. For the knowledgeable gambler the entertainment can actually be cheap. Although gambling feels like a job to me now I played recreational basic strategy blackjack for about a year before I went onto card counting. Playing $5 a hand under Atlantic City rules at a full table the expected loss per hour is only 2 cents per hand or about $1.20 per hour. That isn’t much to pay for the entertainment and free drinks. So those who play the better games and play them well could certainly make an argument that it is a small price to pay for entertainment.
Some people, like you, don’t see what is entertaining about gambling at all. That makes sense, since not everyone likes every form of entertainment. Just because some people like baseball doesn’t mean everyone will.
As for compulsive gambling, psychologists say compulsive gamblers fall into two groups: those who do it to it for the action and those who do it to escape reality. The action seekers tend to be men and gravitate towards the table games. The escapists tend to be women and gravitate towards slots and video poker. So that is my two cents. Keep in mind the only psychology I have studied was one semester in high school, 20 years ago (hard to believe it has been that long).