You're probably OK, Andrew, if you're just doing it when there, but FYI:

Watch it going across state lines for gas; in most states, you are required to pay the difference in taxes to your state government (yeah, with extra paperwork) annually. Of course, they don't enforce it for occasional trips, or if you're in the other state to work or something, but I have heard of crackdowns targeting those who habitually buy gas on the cheap side of the border.