It depends. Many casino cages will cash a limited amount of low-denomination chips from other properties, even though they don't like to. There are practical reasons behind casinos' reluctance to accept "foreign" chips.
For starters, ultimately all chips need to be cashed at the casino that issued them. So if you don't do it, the casino to which you hand them over will have to take care of getting them back to their home casino. This means physically sending someone out on a periodic "chip run," visiting every casino whose chips their property has acquired -- and that requires time and money. Casinos also like to keep their own chips on property as a way to keep track of what their players are up to. For example, after a successful night, a favorite ploy of gambling teams (whether honest professionals or cheating crews) is to divvy up the spoils and send the team members out to different properties to cash them in. That way the casino they've hit can't be sure how much was won and by whom -- exactly, of course, what management wishes to avoid.
Although casinos are fiercely competitive with each other with regard to taking your money, they also tend to stand together when it comes to protecting themselves from undesirable players. Having a players card from the casino that issued the chips will sometimes help to smooth the process; it shows you're known to that property. But if a player presents chips either of a high denomination (over $25), or which total a large cash value, any cage will almost certainly run a Central Credit check to see if there’s a "hold" on them for any reason.
Why would there be a hold on chips? For one, a casino might suspect that its chips were acquired in a dubious manner. For another, the player might have an outstanding marker at the casino that issued them and is trying to cash out, at another property, what's left in his pocket rather than putting it toward settling his debt. If for any reason the chips presented are shown to be on hold, they will not be accepted.
What if you want to play your chips rather than cash them in? Usually, before you can sit down at a table, you have to exchange them for house chips at the cage.
Those are some general points to bear in mind, but specific policies vary from property to property. Here are some examples:
Bally’s: Will generally cash low-denomination chips, but if the face value is $100 or more, the cashier will need to check with Central Credit and they may not be accepted. Bally’s will accept chips from Paris, its sister property, both at the cage and tables, but any other casino chips must be taken to the cage, verified, and exchanged for house chips before they can be played.
Caesars Palace: Generally only exchanges foreign chips for its own chips, not cash.
Imperial Palace: Will cash a limited amount of chips of under-$100 denomination. But there are a number of casinos whose chips we were told it won’t accept. These include: Bellagio, Excalibur, Mirage, New Frontier, New York-New York, Las Vegas Hilton, MGM Grand, and Harrah’s. We were informed that this is because these properties don't want their chips to leave the casino. When asked, however, the Hilton's cage denied there was any embargo on their chips being cashed elsewhere. So it seems more likely that it's just an IP policy to limit the number of foreign chips it has to handle.
Plaza: Said they would probably, if low amount/ denominations, but seemed reluctant and would have to check with Central Credit before accepting any chips other than their own.
Palace Station: A definite "No" – only accepts its own chips. Interestingly, Sunset Station said that in theory it would cash a limited amount of chips from its sister properties, but would still have to run a Central Credit check before accepting them.
Palms: Will accept chips from most major casinos in $5 and $25 denominations, up to $500. Beyond that, they’d call the other property to verify that all was well.
