This is not an urban myth, but up until Friday it was illegal to have sex in the state of Virginia, if you were unmarried. I presume a couple actually had to be married to each other also, not third parties 🙂
Now to be fair to Virginia, they have not prosecuted anyone undewr the law since 1847, but it was still valid as it was used to strike out a lawsuit over herpes on the basis the sex was illegal.
Virginia incidentially is regarded as one of the more liberal states! I’ve even visited there (very briefly).