Long story short: Lyme disease cases, like cases of many diseases, are clustered geographically in specific areas. Lyme is very uncommon, bordering on unknown, in areas outside the endemic zone.
Here is a map showing the risk of Lyme disease nationally:

Notice that cases are clustered in the northeastern US. Don’t let overcaution worry you too much if you are in a light pink area. Cases in those places aren’t unheard of, but happen once in a blue moon; ie, “yeah, we had one about six years ago”, etc. For a little more detail, check out your state’s stats, according to the CDC. The incidence is reported at the far right and gives you perspective on how common or rare the disease is—for example, in Alabama in 2006, there were 0.2 new cases per 100,000 people. Pretty safe odds.
Thanks to the national attention given Lyme, though, folks are seeing bullseye rashes everywhere. If you aren’t in an endemic area, certainly get checked out—but don’t think every unexplained spell of fatigue is because of that hike you took last Saturday.
Don’t forget there are plenty of other happy tick-borne diseases, too: Tularemia, Rocky Mountain Spotted Fever, etc. There’s even an illness transmitted by the Lone Star Tick that mimics Lyme, known as “southern tick-associated rash illness” (STARI). If you have a circular rash and a fever and live below the Mason-Dixon line, STARI is much more likely than Lyme.
Now, don’t go ignoring obvious and persistent symptoms—but, if you don’t live in the dreaded black or dark pink areas above, don’t fret too much about Lyme disease, either.