There are countries that will host a gambling site even if they do not have a license provided that you have an office over the server are on that region
I don't think so, there are no countries as such that will let anyone to run an online or actual casino without any license, if there is, I would be happy if you are going to provide some proof that they really exist. Having a license means that you are running a legal gambling business, meaning you agree to have a trustworthy behavior and have a fair gaming policy.
Online Gambling LicenseI am not very familiar about setting up a gambling site but it only pays to get a lawyer, a lawyer can give you a sound advice and it will take care and explain all the problems that will come and how you can deal with it.
I'd rather get a license if ever I wanted to run a casino online to avoid consequences in the long run, than having an attorney in which you are going to pay every single time that you are going to consult him what to do or if you are already in the court and you need some savior thing to save your ass from getting in jail.