That would be tax evasion in many (most?) states, whether you admit it or not. Some people may not know this, and they may get away with it, but that doesn't make it legal. EVER.
For example in California use tax has existed since 1935, way before the internet. There are exceptions, such as software downloads, but if you received any physical package or mail, chances are you owe sales tax.
True^^^
There is a line on the Mass. State Tax form where you are supposed to enter unpaid sales tax. I'd like to tell you I did it - but that would be slightly less than the truth.
But it IS tax evasion. The fact that in the history of internet sales, three people have actually filled in the line (they were awarded a Presidential Medal for Honesty) - the rest of us are tax evaders. Definitely illegal!