Is a scheme always negative in the US?

I would say it is usually negative, but not always. In my experience, if someone in the US says they are scheming to do something, it is tongue-in-cheek.

Lately the word is often used in the US after Ponzi in light of the Bernie Madoff investment scandal.

In the US we do hear of other meanings. "The scheme of things." "A rhyme scheme." However, the verb "scheme" (according to the OED) is mainly negative nowadays, even in England.

I agree it often has a negative connotation.

If you say that someone is "scheming", as in, "Jack is scheming to ...", that's pretty much always negative.

But, "I have a scheme to fix our production problem", or "What's the scheme for marketing this weak?" don't imply anything underhanded. Of course if you describe a scheme in negative terms, it's going to be negative, like, "Bob devised a scheme to ruin Sally's reputation."

I guess like many words it depends on context. But given that it is used in negative terms more often than in positive terms, I'd generally use an alternative word for something positive, like "plan".

If I'm to believe Google Books (which I don't necessarily, on such finely-balanced issues), Americans are actually becoming more comfortable with using "scheme" in positive contexts...

...whereas Brits seems to have always been perfectly happy with it...

If you can't make out the "prevalence" percentages, I'll tell you that over the past half-century the average is about 10:8 for US:UK. Americans actually write that positive version 25% more often per billion words than Brits.

Of course, this is not to deny that the verb form usually has negative associations. I think OP has simply transferred those associations to the noun. Also, note that neighborhood watch scheme is very much a British form of words - so much so that if I enter neighborhood watch sch in the search box, Google Instant suggests auto-completing it as neighborhood watch schemes uk (even with the American spelling!). But just because this is (obviously) a common expression in the UK doesn't mean there's any significant difference in attitude to the word in general.

Scheme is used often in technical papers, to describe algorithmic approaches to problem solving. In that context, it has no negative connotations whatsoever, and is as benign as the previously-cited example, rhyming scheme. Some examples:

"The selection of a particular numbering scheme is based on the analysis of the corresponding adjacency matrix." (Kier and Hall, Molecular Connectivity in Chemistry and Drug Research)

"The simplest scheme to solve this problem is to make separate copies of the goal's arguments for each alternative clause, but this is very inefficient. To reduce the copying overhead, variant schemes based on the idea of shared environments have been proposed." (Yang, P-Prolog, a Parallel Logic Programming Language)

"The selection of a numerical scheme to solve practical fluids engineering problems is still an art." (Valentine, Control-Volume Finite Difference Schemes to Solve Convection Diffusion Problems)

In American usage, if you are speaking of something technical, it is positive or neutral. Otherwise, we generally use the word plan, as others have written. In reading the comments to this, I was surprised to see that British spell neighbourhood without the u. Is it changing to the u-less version?

I'm from Australia where the word 'scheme' does not have negative connotations, for example the Snowy Mountains Scheme was the largest infrastructure project ever undertaken in Australia. While holidaying in Hawaii our hotel invited us to a presentation of their time-share option in return for luau tickets, so we duly attended the sales pitch. They were trying hard to get our signatures but I wanted to do further research, so I was pushing back and told them I wasn't ready to sign up to their scheme. Well you should have heard the reaction from the sales guy. "Scheme!? Scheme!?" he exploded, with a look of disgust on his face. I had to explain that the word didn't mean anything negative to Australian ears, and the sales lady tried to calm him down, but that was the end of their sales pitch. We did enjoy the luau however.