It's only the major media players who have even received a letter from the government telling them to not accept gambling ads, and only one of them has been fined. All of the minor media has been spared so far. Even Casino City, the largest website on the Internet devoted to online gambling, hasn't received a cease and desist notice from the government. But that didn't stop Casino City from pre-emptively fighting back anyway.
Casino City case.
In August 2004 Casino City sued the DoJ to establish its right to accept ads for Internet gambling. A judge dismissed the case, saying Casino City didn't have standing because it hadn't received one of the cease & desist letters. Casino City filed an appeal, but before it could be heard, Casino City withdrew from the case in February 2006, apparently because they felt that they'd made their point: If the government ever tells Casino City that it can't accept gambling ads, Casino City will fight. (Online-Casinos.com)
Even if one doesn't run afoul of the feds, there's a chance that state government will come calling. In June 2006 the state of Washington shut down the gambling portal IntegrityCasinoGuide.com, which like so many other sites just carried reviews of online casinos along with affiliate links. However, it appears that the site offer faced no penalty, other than having his site shut down. (The Online Wire)
If history is any indicator, websites covering online gaming have little to worry about. In the unlikely event they get a warning letter, they will likely be able to simply stop accepting ads without facing penalties (assuming they don't choose to fight).