So, there was a "Pi-in-One Oil" gag. I'm pretty sure that it was a combination of two common jokes in Futurama: the "things are bigger and better in the future" (like the box of Admiral Crunch and the carton of half-and-half-and-half) and the "in the sciency future, people use crazy math numbers" (like the news on channel root-2). I don't think it has anything to do with the urban legends about states passing laws to define pi as three. That said...
There have been a lot of widely-known stories about it, though. Some folks in this newsgroup asserted that these stories were true. Here's some information: http://www.urbanlegends.com/legal/pi_indiana.html http://www.snopes2.com/religion/pi.htm
Someone mentioned a joke from The Simpsons where Frink says "Pi is three" to get shocked attention; that has its roots in these stories. I don't think that the Futurama gag has its roots in these stories; it definitely did not have its roots in the fact that a joke was made on The Simpsons.
--brian