Here, from Mac McClelland, is a map that shows you where it's legal to marry your cousin. The red states are "wedding ready," the purple states have caveats (married cousins might not be allowed to conceive, for example), and the orange states will recognize a marriage between cousins but won't license one.
So is marrying your cousin bad? Well, if you don't have kids, it's hard to say what the harm is (though your social life might suffer). If you do have kids, a "consanguineous" marriage can double the risk of birth defects from about 2 percent to about 4 percent. And in small populations that can be a real problem—and drain public health funds. Check out the case of Bradford in the United Kingdom.
Now you know.