It depends where in Europe, which is a big place, made of many different countries. Generally the tax will be the same amount of tax you would have paid had you bought in that country; this, plus the shipping, would usually make it more expensive. If your package doesn't get checked, you might get away with it, but it's probably illegal.
Another thing to bear in mind, in the USA, you can only get an unlocked iPhone direct from Apple, and Apple US will only ship to a US address. There are remailer companies which provide a proxy address, and charge a small fortune for it.