It's not illegal, but how do you define cheating - is it by laws, or by rules set by the game runner?
For example, in football (soccer) it's cheating to punch the ball into the goal... but the associations that decide on the rules could make this perfectly fair play next year, just by deciding that they no longer define it as cheating.
There are rules set by the gaming commissions in each state that the casinos are fairly well bound to upholding. In Vegas, the legislation is more in favor of the casinos than in New Jersey, but both are pretty broadly pro-casino.
In Vegas, it's worth noting that a casino can eject any player for any reason, whether they are 'cheating' or not. If they are deemed to be actually cheating, they have the potential to sue for recompense, as well as blackball the gambler from that (and other) casinos. Nevada also has state laws that define what cheating is[1] and what recourse the casinos have.
Card counting is considered 'illegal' by the casinos, but most legislation only applies to physical tampering, such as marking cards or using illicit devices. That won't stop the casinos from ejecting or blackballing you for counting.
In Atlantic City though, they can't eject you for card counting, but they are allowed to change the table stakes on you. If you're at a $10,000 a hand table, and wiping out the casino in a way they don't like, they're perfectly allowed to change the table stakes to 25 cents at any table you sit down at.
It's crappy, but you're still welcome to enjoy the gambling experience, just without the potential to win anything significant.
For example, in football (soccer) it's cheating to punch the ball into the goal... but the associations that decide on the rules could make this perfectly fair play next year, just by deciding that they no longer define it as cheating.