LuckyBit has a nice list.
Examples of compatible wallets:
Blockchain.info
Bitcoin-Qt/Bitcoind
Armory
Electrum
Multibit
Android bitcoin wallet
Examples of wallets that are not compatible:
Exchanges such as Xapo, Coinbase, Bitstamp etc.
Shared wallets of other gambling sites
Online wallets that send from a common address for all users
In general, any service that uses a shared wallet for all its users
If you're not sure if your wallet is compatible, test it by sending a bet with the minimum amount to one of our games and see if you get something in return.
This is just for them but it gives you a good idea of what you should use.
Not compatible in term of what? I think that there are only few sites that require you to use a compatible wallet for the return address such as luckybit. If you are playing in other sites than that, you can freely choose to use the wallet in exchanger.
My mistake then. But I think it is preferred to use a wallet and not an exchange.
Wallet such as blockchain is ofcourse easier to use rather than those of exchanger . Using wallet from exchanger will require you to confirm for a withdrawal from your email, if you use blockchain then it will be easier but As far as I know, only luckybit ( I maybe wrong about this ) do need compatible wallet such as blockchain for return address