I decided to do a little research and see what I could find on Google regarding Taxes, Gambling and Illinois. I found the following that talks about cross boarder taxation,

http://www.taxpertsltd.com/state%20and%20local%20updates.htm#Indiana%20taxes%20of%20Illinois%20gambling%20winnings

John Grochowski had an article in Casino City times that addresses it also

http://grochowski.casinocitytimes.com/articles/739.html

The article is dated 2000 so it doesn't take into account new taxes. For example the 70% tax on the casinos regardless of operating expenses(?).

I came accross a recent LVRJ article that mentiones that the taxes on Casinos are 70%. I have been saying 75%. I apologize for that if it is incorrect on MY part.

and, Here is another John Grochowski article from the Detroit News,

http://info.detnews.com/casino/columns/details.cfm?column=grochowski&myrec=175

That is from last May so it should be reletively current.