Just to add to the negatives, if you are an American citizen it is expressly illegal to own an online casino, so you would be opening yourself up to potential prosecution by the DOJ. If you are outside of the US, then of course this doesn’t apply.
Add to this the possibility that online gambling is legalized in the US, opening the industry up for Harrahs, MGM and the rest of the “real” casinos. You could spend years getting up to a profitable level only to have that happen and all of the big guys will dominate the industry by snatching up the players, or at least squeezing the margins for the online casino groups through bonuses and other promotions.