Travel to: Various places in Africa, including Nigeria; Some parts of Asia
Punishment if caught in the U.S.: Up to nine years in jail; Up to $10,000 in fines

Even though polygamy is outlawed in all 50 states that hasn't stopped some from consummating marriages with multiple partners. Don't expect to move to Europe and South America for the opportunity. But, you can have some luck in many parts of Africa and Asia, as polygamy is legal by law there.