In NY State, which is pretty tax-heavy, you only pay NY sales tax on out-of-state purchases if the seller has some kind of "physical presence" in NY--like a retail store, or a business office, etc. So if I order from Sears, even if my order is made over the phone to some other state and shipped from there, I pay NY tax, but if I order from L.L. Bean, who have no retail stores or business offices outside of Maine, I don't.