Christianity is not a religion of rules but of grace. We cannot please God with our attempts to follow a set of rules. That is what the Pharisees did, and it led to self-righteousness, which Jesus condemned. Nevertheless, God has made certain commands of His people, and those who love God desire to obey Him. There is no command in Scripture regarding where we can or cannot go, though we can reasonably assume that knowingly walking into a place which will cause unnecessary temptation is foolish, if not sinful.
An alcoholic might be sinning if he walks into a bar or casino, knowing it will tempt him. Anything not done with faith and a clear conscience is sin (Romans 14:23). One must check his or her own attitude, doing everything with a clear conscience. Some are troubled by a guilty conscience for nearly any reason. This person should remember his position in Christ; he is under grace, not under the law (Romans 6:14). Where there is no command from God, He has given us freedom. We should exercise it with full assurance of God’s grace, which is sufficient for our righteousness (Galatians 2:21). See also http://carm.org/bible-gambling.