Yes, I had to fill a form for a an American corporation once that asked me about my ethnicity and it was very weird. It was the first time I saw anyone do that, much less in an official form - I was wondering all the time if that was legal - and according to the very detailed instructions I had to select an option that did not match my opinion about my ethnicity at all.
Companies which meet a certain criteria (eg, companies over 100 employees, or smaller companies which are federal government prime contractors) must file an EEOC-1 report to the Equal Employment Opportunity Commission. See http://www.eeoc.gov/employers/eeo1survey/faq.cfm .
