After a run of bad luck, John (Steve Buscemi), a compulsive gambler, runs away from Las Vegas and toward a normal job and life. Taking a nondescript position in an auto insurance company in Albuquerque, he tries to get ahead in the straight world, amid the ever-present temptations of scratch-off lotto tickets.
When his boss, Mr. Townsend (Peter Dinklage), asks John to accompany his top fraud debunker, Virgil (Romany Malco) on an investigation of a dubious car accident near Vegas, John sees an opportunity to get a promotion , though he's concerned about returning to the gambling game. Before leaving he becomes involved with his eccentric co-worker Jill (Sarah Silverman), a dalliance that has the potential to become a real relationship.
Soon John is on the road with Virgil, where they encounter a series of offbeat characters, including a wheelchair-bound stripper (Emmanuelle Chriqui), a nude militant (Tim Blake Nelson), a park Ranger (Jesse Garcia), and a carnival human torch (John Cho). While Virgil is the supposed leader of the investigation, it's John who begins to finally assert himself, pushing the case closer to a conclusion.
Through the journey, John's confidence builds, and he realizes that he can't escape his gambling addiction by running away from it, it will follow him wherever he goes. It's only when he returns to Vegas and his experiences there finally send him on the path to breaking free.