There are many examples, for example in the state of Pennsylvania, all parties must consent. While it is a felony to record and then playback without consent (you are correct in this case), it is a punishable misdemeanor to violate privacy (broadcasting is not required) with a fine of up to $5000 in the first violation and 2 years of prison and/or up to a $5000 fine after the first violation.
What is usually illegal is broadcasting or making that record available to someone else.