Do you have to give maaser on money that was won through gambling?
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That's like asking if you give maaser on stolen money, therefore the answer would be, No. You must return the money. Mishna Berura writes that gambling is avak gezel (M"B 322).
Read this other question to explore whether gambling is permitted at all.
Various rabbis and teachers of mine, over the years, have agreed that gambling is permitted in certain situations (state lotteries, large corporate owned casinos, etc.)
These same rabbis and teachers advised me to take maaser out of winnings after every "session" of gambling.
The definition of "session" is subjective, but this is typically what I call a "session"
If you have a casino in/near your hometown, then perhaps it would be prudent to take maaser every time you walk out of a casino with more money than you walked in with.