It's true that in most cases we are just re-locating the pollution.
But, in the case of charging your electric vehicle with power
generated by natural gas, you have actually reduced harmful emissions.

A quote from naturalgas.org :

Natural gas is the cleanest of all the fossil fuels. Composed
primarily of methane, the main products of the combustion of natural
gas are carbon dioxide and water vapor, the same compounds we exhale
when we breathe. Coal and oil are composed of much more complex
molecules, with a higher carbon ratio and higher nitrogen and sulfur
contents. This means that when combusted, coal and oil release higher
levels of harmful emissions, including a higher ratio of carbon
emissions, nitrogen oxides (NOx), and sulfur dioxide (SO2).
Natural gas is the cleanest of the fossil fuels, and thus its many
applications can serve to decrease harmful pollution levels from all
sectors, particularly when used together with or replacing other
fossil fuels.
Just wanted to throw that little tid-bit in there because it's not
something many people think about.

Gracias,
                    Miguel