Mike,
Most chips can be taken from most casinos with no problem. Some smaller casinos may watch their players and prevent them from walking with chips so that they don't have to re-order so often. Most casinos watch to prevent you from walking away with roulette chips, which could possibly be brought back to the casino and played using a higher denomination than when they were "harvested".
Will Knight has answers to a lot of questions about collecting chips in his FAQ, which you can access by clicking here:
http://www.2chippers.com/chipfaq.asp?faqcat=C