All sin stocks are not created equal, as our current economic woes have made abundantly clear. When it comes to share prices, at least, some of our vices are suffering more than others.

Gambling hits a cold streak
While gaming, tobacco, and alcohol stocks have been traditionally lumped together, the depth of this recession has quickly sapped investors' confidence in the gaming sector. Las Vegas Sands (NYSE:LVS) is down from around $140 to less than $3, while MGM Grand (NYSE:MGM) is down from the $90s to less than $3. Only Wynn Resorts (NASDAQ:WYNN) still trades in the double digits, but it's nonetheless gotten hammered, falling more than 50% since the beginning of the year.

Las Vegas Sands and MGM face similar problems. Both expanded aggressively by taking on a ton of debt … right as the recession began. Declining visitors to Las Vegas severely hurt their businesses, leaving both companies hard-pressed to secure the financing they need to finish their projects and service their existing debt loads.

Only by maintaining manageable levels of debt can a company survive a deflationary shock. Alas, the casino operators' expensive developments make this impossible for them.

If they can survive this massive revenue drop in Vegas, and secure more financing, Las Vegas Sands, MGM Grand, and Wynn Resorts will likely rally from these lows. But those are big ifs. To whom will MGM sell its expensive condos, even if it manages to finish its CityCenter development on the Las Vegas Strip? Those residences were developed for the height of the real estate bubble, not the current lean times.

Still, while gambling stocks look a little risky right now, another quintessential sin sector may be worth a close look.

Smoking is good for your bottom line
Smoking is a bad habit, and I don't advocate it. I've been known to enjoy an occasional cigar, but I still feel for those who have to buy cigarettes each and every day -- even though those folks have been generating fortunes for the tobacco companies for decades.

According to Gallup, between 1944 and today, the percentage of smoking adults has declined from 41% to 21%. This is likely a result of public campaigns against smoking, combined with a better understanding of the risks associated with the bad habit. But would you venture to guess how much the U.S. population has grown since 1944? It's just about doubled, leaving the absolute number of smokers almost unchanged.

Altria (NYSE:MO) spun off its faster-growing international division Philip Morris International (NYSE:PM) last year. The numbers now speak for themselves: Philip Morris International is the No. 1 player in 11 of the 30 largest international markets, and No. 2 in another eight. The company is spectacularly profitable, earning $6.9 billion on $25.7 billion in revenue in 2008.

At a $75 billion market cap, Phillip Morris International is about twice the size of its former parent. It was trading at a much higher P/E multiple, and yielding a lot less, a year ago, yet the business has not changed all that much. Currently, Phillip Morris International yields 6.1% and trades at just less than 11 times earnings. This should sound very appealing to investors seeking a one-two punch of sustainable dividends and a growth kick.

Altria is not just a U.S. tobacco business, though; it also owns 28.7% of SABMiller, following the merger of Miller Brewing (an Altria subsidiary at the time) with SAB in 2002. That deal made SABMiller it the second-largest brewer by volume in the world.

While the U.S. tobacco business will not grow as quickly as its global cousins, it's certainly not going away anytime soon. The market leader is the aforementioned Altria, which yields 8% and trades for 11 times earnings.

One reason for the low multiple: the "burning" issue of tobacco taxes, which are set to increase substantially today. The federal tax will rise from $0.39 per pack to $1.01. On top of that, cigarette makers owe the government an extra $0.62 for every pack they own that day, which has caused them to reduce volumes and lower inventories in order to minimize the tax hit. All these measures have skewed companies' financial performance to the downside. Combined with a hostile market environment, that slump has caused some tobacco stock share prices to decline so dramatically their P/Es are lower than their dividend yields. (Eminently sustainable yields, in my opinion.)

The other players in this game
The perennial distant No. 2 in the United States is Reynolds American (NYSE:RAI), which has a P/E of 8 and a dividend yield of 9.5%. Reynolds is solidly profitable, I think, and I have no less faith in its dividend than in Altria's.

The tobacco tax hike not only reduced inventories, but also sizably increased of tobacco prices. Both Altria and Reynolds American boosted prices on their products to offset any drop in consumption the tax hike might trigger. Fortunately for them, their addicted customers will continue to purchase products, even with higher prices.

Vector Group (NYSE:VGR) is tiny in comparison to Altria and Reynolds American. While it's not as profitable, it does yield 12.3%, and there's plenty of cash to cover its juicy dividend. As long as I can remember, Vector Group's financial condition has always looked dicier than both Altria's or Reynolds', but it has nonetheless maintained a steady dividend payout.

Vector is definitely riskier, but as a small portion of a well-diversified portfolio, it could be considered an aggressive dividend play. Research with care.

But then, casino stocks are for gamblers, right? Sin stock investors will be better served by taking a deep puff of tobacco shares instead.

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Fool contributor Ivan Martchev does not own shares in any of the companies in this story. Try any of our Foolish newsletters today, free for 30 days. The Motley Fool has a virtuous disclosure policy.