I would talk to him and focus more on how his behavior makes you feel and less on what he is actually doing - remind him that it's hard for you to hear about all the fun he's having when you don't get to get out at all. Then decide that one of the nights he is home is your night to go out - even if it just to have a coffee at Starbucks or browse at a bookstore.
On the other hand, from a economics standpoint, if he has the money to spend on a hotel room for 4 nights a week, gas driving back and forth, casino gambling and strip clubs, then maybe he can think about taking a lower-paying job closer to home that will have him at home every night.
Just remember - if you divorce, he will not be home at all. You will still be left on your own without him except for when he has visitation on weekends, most likely. He will still be free to do as he pleases when he does not have the kids. Do you want him to then get involved with someone else that then would be another influence on your kids? Do you want to deal with having to divide up birthdays and holidays and all that? Do you want to have to spend days and weekends apart from your kids while they are with their dad?
I understand it is frustrating, but I just don't see where divorce is the answer. He won't be with you and the kids at home anymore at all and it's the kids that will end up suffering. Better to try to work out your problems with a marriage counselor instead if you are having issues communicating.