Neither are we immune

A modern analysis puts the Cape Ann Earthquake at between 5.9 and 6.3 on the Richter Scale. Below is a description of what it was like.

The Cape Ann Earthquake of November 1755

At about 4:30 in the morning on 18 November 1755, a strong earthquake rocked the New England area. Observers reported damage to chimneys, brick buildings, and stone walls in coastal communities from Portland, Maine to south of Boston, Massachusetts. Chimneys were also damaged as far away as Springfield, Massachusetts, and New Haven, Connecticut. The earthquake was felt at Halifax, Nova Scotia, to the northeast, Lake Champlain to the northwest, and Winyah, South Carolina to the southwest. The crew of ship in deep water about 70 leagues east of Boston thought it had run aground and only realized it had felt an earthquake when it arrived at Boston later that same day.

The 1755 earthquake rocked Boston, with the shaking lasting more than a minute. According to contemporary reports, as many as 1500 chimneys were shattered or thrown down in part, the gable ends of about 15 brick buildings were broken out, and some church steeples ended up tilted due to the shaking. Falling chimney bricks created holes in the roofs of some homes. Some streets, particularly those on manmade ground along the water, were so covered with bricks and debris that passage by horse-drawn carriage was impossible. Many homes lost china and glassware that was thrown from shelves and shattered. A distiller's cistern full of liquor broke apart and lost its contents.

Are we due for another?

The analysis above indicates that "The Boston ground motion estimates in this study correspond approximately to the 5% in 50 yr ground motions on the 1996 and 2002 USGS National Seismic Hazard Maps."

According to a 2004 article in the BU Bridge it sounds like another Cape Ann isn't due anytime soon, but smaller ones are not unlikely:

Is New England due for a strong (intensity 6.0-6.9) or moderate (5.0-5.9) earthquake? Abercrombie says no and yes, respectively: seismologists have determined that earthquakes with a magnitude of six or greater occur in New England on average once every 450 years. Since the last one was in 1755, we may not have one for several centuries. But a magnitude five quake hits the region every 50 or 60 years, and there was such a temblor in 1940 near Ossipee, N.H. So there is a 19 to 28 percent likelihood in New England by 2013, Abercrombie says, and a 41 to 56 percent likelihood by 2043.