I guess that would depend also on jurisdiction (i.e. where do you live / laws will be different in USA, EU, Japan or other countries in this regard)
Perhaps setting a company in some tax heaven may be the solution to any possible law problems, but IANAL, so I guess it would be better to wait for answer from a real lawyer
I am also considering of putting up some dice site, but I'd also like to know what might be the legal implications of this before doing so.