I'm not sure either. The obvious con is that people spend money on it, especially the poor, so I'm sure there's some sort of humanitarian personal "we're saving them from themselves" reason (which tends to be why gambling, drugs, prostitution, and most actions/things that don't have a direct victim are criminalized) that they use. Most states tend to think the tax revenue is more important than someone blowing $5-10 a week on the lottery is worth it, but I'll give the LDS church this, they do stick to their principles and more importantly, are pretty consistent with them, which I find admirable, as much as I disagree with many of them.