Sexual orientation is included in the proposed <a href="http://en.wikipedia.org/wiki/Employment_Non-Discrimination_Act">Employment Non-Discrimination Act</a>, and there's an interpretation of the Civil Service Reform act of 1978 that prohibits discrimination based on sexual orientation or gender identity, but I can't find anywhere that it's specifically stated in anti-discrimination legislation that's already on the books.
The following states' anti-discrimination legislation specifically does not include sexual orientation:
Alabama, Alaska, Arizona, Arkansas, Delaware(1), Florida(2), Georgia, Hawaii (1), Idaho, Indiana, Kansas, Kentucky, Louisiana, Maryland(1), Michigan, Mississippi, Missouri, Montana, Nebraska, Nevada(1), New Hampshire(1), North Carolina, North Dakota, Ohio, Oklahoma, Pennsylvania, South Carolina, South Dakota, Tennessee, Texas, Utah(3), Virginia, West Virginia, Wisconsin(1), Wyoming.
(1) - Sexual orientation is protected, gender identity is not.
(2) - Sexual orientation not protected; gender identity protected in some cases under disability protections
(3) - Both sexual orientation and gender identity are protected in Salt Lake City.
Du bist nicht der Mittelpunkt des Universums.