Casinos aren't uncommon in New Mexico, and, like many in the U.S., a good number are run by Native Americans on their lands.
There are a few in Albuquerque itself, but a good number are outside of the cities on the Pueblos. Santa Fe has quite a few nearby as well.
As with most casinos, you'll encounter plenty of gambling but also buffets, restaurants, and shows. If you're looking for something a little different, or to see a concert, they might be a good bet.