Yup,over the last couple of years I've done exactly that...about $8K worth of various electronic items from NYC (B&H,J&R,etc) which doesn't collect taxes on out of state shipments.But as I said,I report all such purchases on my state tax return,as required by state law,because I'm a *good* boy! ;-)
If you go to Europe where they collect VAT on just about everything, collect your receipts and present them at the airport just before departure, they’ll refund all your VAT payments, because, why not, that is a civilized way of handling taxation. Why should I pay California sales tax on a purchase made in New York?