I am an officiant in the state of Pennsylvania.  Each state will have some differences in their marriage laws.  In Pennsylvania, you may obtain your marriage license at any issuing office in the state (county courthouse) and take it to any other locality within the state for the marriage ceremony.

Examples:
You live in NY but are getting married in PA. You can drive just over the state line to get your licenese in Wayne County for your wedding in Lancaster County.

You and your fiance both work blocks from the York County Courthouse. You can get your license there for your wedding in Daupin County.

There is a 3 day waiting period after the application is complete and the license is valid for 60 days. This means you must get the license at least 3 days before your wedding day, but no more than 60 days before. A good rule of thumb I tell clients is to put it on your calendar for about one month before your wedding date.  If either of you has been previously married, it is a good idea to give yourself a little more time to be sure you can obtain all the correct paperwork needed to obtain a license.  If you are having a small wedding or elopement where the date is flexible due to military service, family illness or some other variable, it is a good idea to get the license a little on the later side. You may need room to push the date a little into the future.

In general, it is a good idea to call your local courthouse ahead of time to find out exactly what you need to bring, their hours, and any particular requirements for special circumstances (like previous marriage, foreign citizenship, etc). You may have to take a few hours away from work to go in-person, together, on a week day.

The following apply in all states:
Both parties must be present in person in order to apply for your license.  In no case can you be married outside of the state from which you obtained the license.  In all cases, provide a Social Security Card along with a government-issued photo ID (such as valid drivers license) for identification.  When you apply for your marriage license, you both must appear in person.  Bring about $50 in cash.  If there was a prior marriage, applicants must present proof of death or divorce.  Non-citizens must present proof of legal entry into the United States.