I was duped by this as well, and I believe it was when using BitVisitor to see some page that had 4 ad links on it for various Bitcoin related things.  Same as the OP, I just said "eh I'll just click the link rather than going to the site manually" and was suspicious when my 0.3 bet had no return change at all.  I found a Reddit post a day or two ago that warned about this scam (possibly sourced from this thread) and realized I'd been had.

I went through the Bitvisitor cycle again today and found the exact page I believe I got the first time, but this time none of the four links were to this scam site, but it could still be in the random rotation.

Note that I was pretty heavily inebriated at the time, so I may be misremembering some of the details.  Pretty sure I'm right here though, as my transaction list shows 2-3 incoming transactions from BitVisitor on either side of the outgoing SatoshiDice transaction, and BitVisitor is pretty good about paying out almost immediately rather than queueing a bunch of transactions at once like most other similar sites.

EDIT:  if you're interested, this is the transaction that I was duped at, thank goodness I only gave away 0.3 BTC to the guy.  http://blockexplorer.com/tx/324c16db46b1a6bd5f785711c209b75c3559b73df1e4d4c94b6b3c2922800aee