This sounds like it will be one of those fake urban legends, but no, indeed, the Snopes.com team found it to be true:
Bride's attempt to hang up her wedding dress results in hotel evacuation.
I sent this to my best friend Lisa, whose wedding I was in in 2007, and she responded with "Man, who knew? I think it's pretty harsh to go after that bride for the balance of the insurance claim. I've never seen a warning to not hang anything from the shower head." (As numerous readers pointed out, it was the sprinkler head.)