Probably in some remote areas of Africa, Middle-East.

I did a quick Google search and the following came up:
France dropped incest from the penal code under Napoleon – in 1810. So did Belgium, where the same happened since it was under French rule at the time. In the Netherlands consensual incest is no longer prosecuted and there the incest laws were also repealed 200 years ago. Sweden is the only country in Europe which allows marriage between siblings who share a parent.
In Japan, the Civil Code of Japan restrict marriages of its members, but incest is not a crime. Incest law was abolished in 1881.
In Israel, incest between adults (of the age of 18 years and above) is not a crime; incestuous relations with a person under the age of 18 years are prohibited and punished by law.
In the US incest is a crime. However, individual statutes vary widely. Rhode Island repealed its criminal incest statute in 1989, Ohio only targets parental figures, and New Jersy does not apply any penalties to anyone over the age of 18.
Now you know where to move to if you intend committing incest.....