I think it's far more than a few, but it would be useful to compile a list of states that don't allow it (and at that it can vary by county). Virginia law forbids it, except with private parties in a separate room, but there are restaurants there that allow it anyway.

Which other states that you know have laws forbidding bringing your own wine for consumption at a restaurant? These are the ones I found (and in some states listed it's only illegal if the restaurant has a full liquor license - New Jersey restaurants without liquor licenses are apparently forbidden from charging corkage and encourage BYO, and Tennessee law requires corkage be offered):

Virginia
Colorado
Vermont (though apparently not much enforced)
Mass (Wellesley requires a special permit for corkage; and it's obviously allowed in Martha's Vineyard as noted above)
NJ
Michigan
Maryland (possibly only banned in Montgomery County)
Indiana
Ohio
Texas
Vermont
Hawaii (Maui county only?)
Arizona

A side topic, but a lot of people don't realize that most (yes, most) states allow you to recork wine served at a restaurant and bring it home. At least 27 states let you do this and several others have no law one way or the other.