http://www.ncsl.org/programs/transportation/radar.htm
Has a write-up of these laws. As a licenced radio amateur from Canada, I am asked if the radios I have in the car are scanners every time I go through customs into New York State. A couple of years ago I was asked this getting off the ferry in Bar Harbor, ME.
It really is illegal under some state laws, and cops sometimes try to confiscate equipment from amateur radio operators, who are exempt from the state laws because the Federal laws under which they are licenced supercede them.
Best advice is leave the scanner at home.