Historically, it was quite common for individuals to marry cousins. It was only after the sciences became more developed in the 19th century (1800s) that the risks of near-relation marriages were recognized. As proof, Charles Darwin himself was married to his first cousin Emma Wedgewood. One reason for the custom of marrying cousins was that wealth and estates would stay within the family if cousins married cousins. 

One famous marriage between cousins was that of England's Queen Victoria to her first cousin Prince Albert. Albert Einstein was married to his first cousin Elsa Einstein. A very contemporary instance of love between cousins is the romance of Italian/English actress Greta Scacchi with her cousin Carlo Mantegazza. many Western countries still have no ban on cousin marriages, for instance, England has no law banning cousin marriage but is considering one.

In other words, cousins falling in love and marrying is only odd in terms of contemporary American culture. It was not previously odd and in many countries in the world today it still is not odd; it is in fact still quite common in many countries.