Review for Rocky Gap Casino & Resort Review For Rocky Gap Casino & Resort Google User Oct 3 '16 at 1:25 The casino is located at beautiful Rocky Gap State Park overlooking the lake. Parking was easy and well laid out, the service and food was very good. Nice variety of slot machines and tables. We did not stay in a room though. We stayed at a very nice camp ground only 4 miles away. View full site to comment or like