The Atlantic City casino Tony Soprano visits in The Sopranos is the Borgata Hotel Casino & Spa, commonly shortened to the Borgata. Tony goes there with members of his crew during the episode “Chasing It.”
The casino trip becomes part of Tony's destructive gambling binge. After winning at roulette, he keeps betting instead of walking away, illustrating the episode's central idea: trying to recover losses can make a gambler chase money even more aggressively.
The Borgata opened in Atlantic City on July 2, 2003, and was built in the city's marina district rather than on the traditional Boardwalk. Its modern hotel-and-casino complex helped reshape Atlantic City's casino market and became one of the city's best-known gambling destinations.
The episode aired in 2007, so the Borgata was already established by the time Tony visits. The scene was filmed at the actual Borgata, which is why the casino setting feels more authentic than a generic television set. The episode is sometimes confused with Tony's later gambling trip to Las Vegas, but that is a separate storyline.