We do this all the time in the USA
You see, we have sales taxes (similar to VAT) in many (but not all) of the United States. A supreme court of long ago, says that if you aren't doing business in a particular state, then you don't need to collect its sales tax. So, lots of people here in the fine state of California which charges around 8% sales tax (it varies) shop out of state (ebay works as well) and just let them ship it to the nice sunny California address.
There have been many attempts to tax internet sales, but it seems that people don't want it done. I wonder why?
The bummer is that Amazon does have a facility here in California, so they charge sales tax. Yuck.
So, if one can avoid tax, do it (like everyone does!).