Although craving is an important feature of problem gambling, there is a paucity of research investigating craving to gamble. A major stumbling block for craving research in gambling has been the lack of a methodologically sound, multidimensional measure of gambling-related craving. This article reports the development of the Gambling Craving Scale (GACS). In Study 1 (N = 220), a factor analysis revealed the emergence of a 9-item scale with 3 factors: Anticipation, Desire, and Relief. An important finding was that the GACS predicted problem gambling severity, depression, and positive and negative affect. In Study 2 (N = 145), the factor structure of the GACS was confirmed using a community sample of gamblers. In Study 3 (N = 46), GACS scores significantly predicted persistence at play on a virtual slot machine in the face of continued loss. Specifically, the more participants craved to gamble, the longer they engaged in play. The implications of craving for the development and maintenance of problem gambling severity are discussed.