No visa is required for U.S. citizens to visit Macau or Hong Kong. For citizens of mainland China, a visa is required. For each entry into mainland China a visa is required. If you are already in mainland China, you may enter Hong Kong or Macau, but you will need another visa to get back into the mainland. For passport and visa purposes, both Hong Kong and Macau should be thought of as separate countries from the rest of China.
You can get to Macau by air, sea, or land. By land, there are two border crossing points from mainland China. By sea, there are frequent and convenient high-speed ferry crossings from Hong Kong. The Hong Kong terminal is centrally located near the Sheung Wan subway stop, the western terminus of the blue line. Ferries depart about every 15 minutes. Seats in the economy section range from HK$ 138 to 172, and "super class" ranges from HK$ 240 to 271, depending on the day of the week and time of day. The difference between the two classes is like the difference between coach and first class on a domestic U.S. flight, or coach and business on an international flight. Super class service comes with a simple boxed meal. The ferry trip takes almost exactly one hour. If that is too long, there is also helicopter service from Hong Kong, at significant additional expense. Macau also has an international airport that services about 15 cities in China and other parts of south eastern Asia. When I went I took the Hong Kong ferry.
If you take the ferry to Macau all the major casinos provide free shuttle bus service. When you exit the ferry terminal on the Macau side, turn left and you will see the shuttle busses. Just look for the one to the casino you are going to. Signage may indicate you need a reservation, but when I boarded the Wynn bus no questions were asked. Macau is a small territory and all the casinos are within a 15 minute drive from the ferry.
I hear that since I left ferry service has been added between Hong Kong and Taipa, with 20 round trips per day.