The House always wins," but sometimes, in some games, the House is way more likely to win than in others. Games such as Three-Card Poker, Caribbean Stud, and Double Exposure Blackjack may have bigger payouts, but they also have much much bigger losses for the players.
You're being watched. Always. Casinos have cameras everywhere and can (and do) track your movements the entire time, They can even see the hand you're holding. It's there for your safety, to watch for wicked people who may prey on the happy gamblers.
....and yes, if you're wondering, security can tell if you're cheating. Just like players have "tells," cheaters have "tells" and security is trained to watch for them. So don't try anything.
Always wash your hands after handling chips. They're disgustingly dirty. Just...wash your hands.
Yes, there are options for, ahem, paid private adult entertainment. Prostitution isn't legal in Las Vegas, but that doesn't mean it doesn't happen. Unless there's a problem or "transactions" are completed on camera (like in a parking garage), security usually just stays out of everyone's way.