<?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>0001239605</rptOwnerCik>
            <rptOwnerName>GLASIER RICHARD</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>CEO &amp; President</officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <nonDerivativeTable>
        <nonDerivativeTransaction>
            <securityTitle>
                <value>Common stock par value $.01 per share</value>
            </securityTitle>
            <transactionDate>
                <value>2005-10-03</value>
            </transactionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>D</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionAmounts>
                <transactionShares>
                    <value>11000</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>47.00</value>
                    <footnoteId id="F3"/>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>D</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>0</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
            </ownershipNature>
        </nonDerivativeTransaction>
    </nonDerivativeTable>

    <derivativeTable>
        <derivativeTransaction>
            <securityTitle>
                <value>Right to Buy (Option)</value>
            </securityTitle>
            <conversionOrExercisePrice>
                <value>21.08</value>
            </conversionOrExercisePrice>
            <transactionDate>
                <value>2005-10-03</value>
            </transactionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>D</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
            </transactionCoding>
            <transactionAmounts>
                <transactionShares>
                    <value>165000</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>4276800.00</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>D</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <exerciseDate>
                <value>2005-10-03</value>
                <footnoteId id="F1"/>
            </exerciseDate>
            <expirationDate>
                <value>2012-07-24</value>
            </expirationDate>
            <underlyingSecurity>
                <underlyingSecurityTitle>
                    <value>Common stock</value>
                </underlyingSecurityTitle>
                <underlyingSecurityShares>
                    <value>165000</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>66666</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>619327.14</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>66666</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 7/24/02, 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 $4,276,800.00 for the remaining outstanding shares in this option.</footnote>
        <footnote id="F2">This option, granted 04/29/04, 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 $619,327.14 for the remaining outstanding shares in this option.</footnote>
        <footnote id="F3">Per the merger agreement, shares are being paid at $47.00 per share.</footnote>
    </footnotes>

    <ownerSignature>
        <signatureName>Richard Glasier</signatureName>
        <signatureDate>2005-09-27</signatureDate>
    </ownerSignature>
</ownershipDocument>
