Digging around Google for a while about US laws yielded the following.
At least in Pennsylvania and probably a handful of other states, it's not illegal at all. I don't see any reference to it in NC, either, but I'm not a lawyer. It's still not a good idea of course, and most places, it won't save any time anyway.
Most states have language that makes it illegal to cross private property or "leave the roadway" to avoid a signal.
A few states including Arizona, Florida, Virginia, and New Jersey make it illegal to go around lights on public streets as well. I doubt this is enforced much.