Granted, I prefer to get my firearms at gunshows (there's a big one this weekend!), but one of my coworkers went up to the Bass Pro Shop on the other side of the river last week and tried to pick up a .243 for his son's birthday present, but couldn't because the store is in Indiana and Jim has a Kentucky license.
You may purchase long guns in states you do not live in. It is just the evil handguns that may not be purchased out of state.
Actually, it is prefectly legal to purchase a longe gun, rifle or shotgun, in person, in another state as long as there are no state laws that would disallow it. Handguns cannot be purchased across state lines though.