http://en.wikipedia.org/wiki/Physical_dependence
'Sedative hypnotic drugs such as alcohol, benzodiazepines, and barbiturates are the only commonly available substances that can be fatal in withdrawal due to their propensity to induce withdrawal convulsions.'
You'll not go cold turkey just because you can't gamble any more nor will you be able to overdose by gambling too much.
One is a chemical addiction - the other isn't. The actual physical withdrawal symptoms experienced by an alcoholic or heroin addict will be far worse than those of someone with a process addiction. Withdrawal from Alcohol can kill an addict.