New Year's Eve is an exception - the casinos are trying to control the flow of foot traffic coming off the strip after midnight which is why they check room keys or wrist bands. And, even then, they only check for a while after midnight, after which anybody can get in.

You can run into problems as well with casinos that have popular pools. Mandalay Bay and the Hard Rock tightly control access to the pools, so if you put more people in the room than you're letting on, some of them might not get access to the pool. Of course, this isn't a problem in the winter, but it's something to keep in mind during the warmer months.