Hmmm... I actually have the source code to what used to be a commercial poker site and it's client. Would be interesting to set it up, but I am sure the servers at least would need to be located outside of the US.
That is much easier than you might imagine.
However I understand that most of the unlawful stuff is done in some place like Germany or the US, but all access to the site is via proxies in remote parts of the world which use a VPN to talk to the main server.
For an example that won't get you sent to jail just for asking: Google (or better yet Duck Duck GO) the term FOSI and follow the link to the site. FOSI has been offering downloads of unlawfully copied software since at least 1990 (when I first found them). They have never been down for more than an hour despite all the DMCA fuss!
Setting up an unlawful site is not hard, but your DO need someone competent that you can trust to set things up - it is the dumb mistakes that kill you!