I went to Nepal this fall and got married. How do I go about getting a marriage certificate in the US? Do I even need one? I didn't get one in nepal.

Not unless you want to petition her to come to the US. In that case, you should get a Marriage Certificate from Nepal. Translated in English, if it's in Nepali.

Thanks for the response Abinabh. She is already in the US (on h1b currently). I was just thinking that proof of marriage might be necessary at some point in the future (for GC petition for instance) and was wondering if it is possible to get a marriage certificate here in the US since we did not make one in Nepal.

Of course, for GC petition you will need your marriage certificate. the only way you get a marriage certificate here in the US is if you actually marry in the US. 

@Sajhababa: if you need a marriage certificate for marriage you performed in Nepal, you will need to get it from Nepal (you cannot get it in the US). Usually, the metropolitan office issues such certificates in Nepal - I am not sure what is the requirement for them to issue such certificate, but am certain that it's very lenient.