Is Advertising Gambling sites legal?

No. According to the Federal Wire Wager Act, unregulated commercial gambling is prohibited throughout United States. This has cost the Big 3 of internet to lose cumulatively $31.5 million for having accepted money to advertise gambling website between 1997 and June 2007. The individual fine imposed is as under

Microsoft : $21 million
Yahoo : $7.5 million
Google : $3 million