<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0202</schemaVersion>

    <documentType>4</documentType>

    <periodOfReport>2005-10-03</periodOfReport>

    <notSubjectToSection16>1</notSubjectToSection16>

    <issuer>
        <issuerCik>0000895385</issuerCik>
        <issuerName>ARGOSY GAMING CO</issuerName>
        <issuerTradingSymbol>AGY</issuerTradingSymbol>
    </issuer>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001264024</rptOwnerCik>
            <rptOwnerName>ARCHIBALD ROGER</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>219 PIASA STREET</rptOwnerStreet1>
            <rptOwnerStreet2></rptOwnerStreet2>
            <rptOwnerCity>ALTON</rptOwnerCity>
            <rptOwnerState>IL</rptOwnerState>
            <rptOwnerZipCode>62002</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>1</isOfficer>
            <isTenPercentOwner>0</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle>Vice President</officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <nonDerivativeTable></nonDerivativeTable>

    <derivativeTable>
        <derivativeTransaction>
            <securityTitle>
                <value>Right to Buy (Option)</value>
            </securityTitle>
            <conversionOrExercisePrice>
                <value>19.92</value>
            </conversionOrExercisePrice>
            <transactionDate>
                <value>2005-10-03</value>
            </transactionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>D</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionAmounts>
                <transactionShares>
                    <value>6524</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>176669.92</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>D</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <exerciseDate>
                <value>2005-10-03</value>
                <footnoteId id="F1"/>
            </exerciseDate>
            <expirationDate>
                <value>2013-04-28</value>
            </expirationDate>
            <underlyingSecurity>
                <underlyingSecurityTitle>
                    <value>Common stock</value>
                </underlyingSecurityTitle>
                <underlyingSecurityShares>
                    <value>6524</value>
                </underlyingSecurityShares>
            </underlyingSecurity>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>0</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
            </ownershipNature>
        </derivativeTransaction>
        <derivativeTransaction>
            <securityTitle>
                <value>Right to Buy (Option)</value>
            </securityTitle>
            <conversionOrExercisePrice>
                <value>37.71</value>
            </conversionOrExercisePrice>
            <transactionDate>
                <value>2005-10-03</value>
            </transactionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>D</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionAmounts>
                <transactionShares>
                    <value>16650</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>154678.5</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>D</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <exerciseDate>
                <value>2005-10-03</value>
                <footnoteId id="F2"/>
            </exerciseDate>
            <expirationDate>
                <value>2014-04-29</value>
            </expirationDate>
            <underlyingSecurity>
                <underlyingSecurityTitle>
                    <value>Common Stock</value>
                </underlyingSecurityTitle>
                <underlyingSecurityShares>
                    <value>16650</value>
                </underlyingSecurityShares>
            </underlyingSecurity>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>0</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
            </ownershipNature>
        </derivativeTransaction>
    </derivativeTable>

    <footnotes>
        <footnote id="F1">This option, granted 4/28/03, which provided for vesting in three equal installments beginning one year from the date the option was granted, and the next two years thereafter, was cancelled in the merger in exchange for a cash payment of $176,669.92 for the remaining outstanding shares in this option.</footnote>
        <footnote id="F2">This option, granted 4/29/04, which provided for vesting in three equal installments beginning one year from the date the option was granted, and the next two years thereafter, was cancelled in the merger in exchange for a cash payment of $154,678.50 fore the remaining outstanding shares in this option.</footnote>
    </footnotes>

    <ownerSignature>
        <signatureName>/s/ Roger Archibald</signatureName>
        <signatureDate>2005-08-19</signatureDate>
    </ownerSignature>
</ownershipDocument>
