Several years ago, I had a bottle of pepper spray in my glove compartment, and was pulled over by police for speeding (wasn't given a ticket though
When I reached into the glove box to pull out my car insurance, one of the officers noticed the aerosol can and asked if it was pepper spray. I said yes, and handed it to him. He asked if I was a "registered mail carrier," which I certainly am not. He explained that pepper spray is considered a weapon and is illegal, confiscated the bottle, and gave me a verbal warning not to possess it again.
In summary, I assume possession of pepper spray/mace is illegal unless you're a mailman. I'm not entirely certain whether *all* types of pepper spray are forbidden, as they come in different strengths and have different purposes. Bear spray, for example, is legal to own as far as I know. Still, I'd be very careful before buying or carrying pepper spray or dog spray... at the very least, keep the can somewhere much more inconspicuous than your glove compartment.