Yeah. I pick Tennessee because it seems they're always one of the exceptions. The Simpsons has picked up on this as well:

From Treehouse of Horror VI:

Lisa: Hey, Springfield! Are you suffering from the heartbreak
of...Monster-itis? Then take a tip from Mr. Paul Anka!
[Paul waves, begins playing a small synthesizer and singing]
To stop those monsters, one-two-three,
Here's a fresh new way that's trouble-free.
It's got Paul Anka's guarantee...[winks]
Lisa: [singing] Guarantee void in Tennessee.

I also have heard the quote "Valid in 49 states - Sorry Tennessee!" but I can't remember where that one comes from.