An interesting idea...
To get around the problem of an Apple store in your state, and thus the sizable tax, has anyone used a relative/friend billing address for payment purposes, but had the shipping address to your residence? This would give you the benefit of the Apple direct order, but without the pesky sales tax, which is the benefit 3rd party sellers have, in many cases.
Seems to me it would take about 5 minutes to add an alternate address to your credit card file and then bill the Apple Online purchase to a state with no physical Apple store. If not a credit card, what about a prepaid debit card/gift card which may have less stringent address verification (or none, who knows?)
Looking at the list, it appears there is no store in West Virginia, Kansas, Kentucky, Montana, Alabama (not for long), Mississippi, Louisiana, New Mexico, Wyoming, North Dakota, South Dakota, Idaho, Maine, and Arkansas. Also, see:
http://www.ifoapplestore.com/stores/blackout_zone.html for a few interesting maps.
Can anyone comment on whether this would work? I see no problem with it as long as you use a valid address for billing. Hell, rent a P.O. Box for a month if you need to!