Different states do different things, but on the local level (in the state where I worked), it didn't matter what state you were from; you had to be in compliance. Keep in mind that most traffic violations are civil infractions where I'm from, and not criminal as they are here in Texas. Some states will have the wording "vehicles registered in this state" or something to that effect as a caveat.
Here's a good thread on this exact subject (thanks Google and Officer.com):
http://forums.officer.com/showthread.php?p=2284939