Say nothing to no-one.
Take snap-shots and capture the source code immediately. Also figure out how they got into the site and plug the hole fast.
After you feel good about having as much evidence as to how the site appeared post hack, fix the site.
Then research as much as you can. Do not say anything to anybody. Figure out who owns the site that is linked to. Do a whois or use domaintools.com to figure out who owns the site. Capture this information for file too. Figure out if at all possible how you were hacked and who is responsible.
Here is the rub. You will not likely be able to take any kind of action against the linked gambling site or the hacker simply because you will not likely be able to link causation. Hackers are good at hiding their tracks though not always. It is not likely that you will be able to figure out who hacked your site and then draw a line between the hacker and the site. But try anyway. Create some Google Alerts to help discover web pages on the subject. It may be that information will show up to help.
In the off chance that you do figure things out, then hire an attorney.
As a side note: I appreciate your wanting to notify the gambling site. I am sure it is out of a kind heart. It is likely that they already know either being surprised by the surge in traffic, or because they are guilty. It may be they are only guilty of hiring someone to increase traffic. Either way, hedge your bet and stay quiet. Never give away your best hand. (I just had to put some gambling cliche's in- could not help myself.)