Yep, not every state but it's in most states. I can't remember how it works, but the Federal law state you can't buy a gun in a state other than your home, but I believe the Supreme Court ruled that state law supercedes federal law on this action therefore the state can rule against it.
In Colorado you can't buy a gun with an out of state license, but in Arkansas you can. Colorado is actually very conservative when it comes to gun laws, but the state supreme court ruled that the state will follow federal law.
This is largely from memory so if I'm wrong someone help me out.