Some places might have the forms on their website, but you do have to go to the courthouse to get the certificate. You have to go to the courthouse because there are identification and legal verification questions that courts are required to ask before a marriage certificate has been issued. For instance, they have to verify that none of you are currently married, not related to eachother (I know it is weird, but they do ask), and any other questions that are specific to that locality. Also the marriage license has to be notarized which requires you to sign your name in the presence of a notary, so you will have to be at the courthouse.
