While the two terms are used pretty much interchangeably, "victimless crime" and "consensual crime" should technically be two different things. "Victimless" means that there is no one harmed except the individual committing the act; this would include such things as drug use, gambling, cross-dressing, and ownership of pornography. "Consensual" means that there is a "victim," but that person is a willing participant in the act; this usually includes an array of sexual and marital activities, such as fornication, homosexuality, BDSM, prostitution and polygamy. All consensual crime can be considered victimless, but not all victimless crime is consensual. Buying illegal drugs would be victimless, but selling them would be consensual.
Then, of course, you have the problem with splitting hairs over just how "victimless" a crime is. If you're addicted to drugs or gambling, and you have a family to support, are they victims because they suffer from the money your habit costs you? Is suicide truly harmless to others if they suffer deeply from the loss of someone close to them? Should owning pornography be allowed if it motivates the owner toward adultery or sex with minors? Are "indecent" outfits worn in public just an expression of personal taste, or do they have negative effects on others who see it? And -- the long-standing classic -- is abortion truly victimless, and at what point does the unborn child count as a victim?
The argument against victimless crimes is usually that it still harms others indirectly, or that it's difficult for the perpetrator to perceive or understand the harm they're doing to themselves until it's too late. They may have their roots in religious law, as is often the case, but that doesn't mean the writers of the religious laws were arbitrary or fun-hating. The goal is to preserve the standards of the society, and while "harm ye none" may sound like an ideal commandment to some, in a community it's a lot harder than that to foresee an act's potential for harm.
Also see consensual crimes.