Is out of state auto insurance Illigal?

I live in New York and the auto insurance here is out of control (Up to 5000 dollars a year which is more than what i paid for my car. Then my friend told me that it would be better to get out of state auto insurance which would be subtantially less. But I wanted to know if its illigal? Also "do the cops stop you alot?", "and what excuse would you tell them?"