What I’ve read on webmaster message boards and in varying search engine discussions and newsletters, is that Google asks you to avoid linking with “bad neighborhoods”. i.e., Link farms. I think (and someone feel free to correct me if I’m wrong) that front page links are not only okay but are probably very beneficial provided that they’re topic-appropriate and limited to a few useful sites.
When I search google to see what other gambling sites are doing, most of the sites I see in the top ten or twenty have front page links with other related sites. So I’d be surprised if they’re doing a blanket penalization on people with front page link exchanges.