Yes, it is unlawful in Utah! You understand that on many islands and coastal communities of the Aegean Sea, this has been the way that they have operated for thousands of years--gather rainwater in cisterns. Government out of control, again.
UPDATE: A reader tells me that in the meantime, Utah's legislature has corrected this matter:
Rainwater harvesting is now legal in the state of Utah, starting May 11 2010. Senate Bill 32 was approved in the 2010 session that provides for the collection and use of precipitation without obtaining a water right after registering on the Division of Water Rights web page (waterrights.utah.gov). There is no charge for registration.
Storage is limited to one underground 2500 gallon container or two above ground 100 gallon containers. Collection and use are limited to the same parcel of land owned or leased by the rainwater collector.