Do you have a WiFi connection when this occurs? If you do then probably a neighbor of yours used to live in NJ and had their wireless router there. Skyhook did their wireless mapping and associated that MAC address with a location in NJ. The person then moved, brought their router with them, so when the iPhone uses WiFi to triangulate location, it thinks you're in NJ.
If this is happening when you've got the actual GPS blue dot though... don't have an explanation for that.