In Wisconsin (I can't say for sure about other states) it is the LAW that you file a state sales and use tax form with your regular personal state income tax return.
It is a line item that asks you to enumerate how much you spent on out of state purchases and then figure what the WI taxes are that you avoided paying and then pony up . . . .
I imagine they would have trouble enforcing it, but it's there nonetheless.
I'm in MN and I know our state (and probably all) say your supposed to file for sales made on Ebay as well. I'm sure everybody does, right?