After reading your post, I did some googling and found this:
Some states, including Massachusetts, have a "use tax"; basically, you have to pay MA sales tax on items you purchased out-of-state. Interestingly, this law exists to discourage people from driving from Boston to malls in NH to buy stuff. The use tax does cover out-of-state online purchases; you're supposed to declare it on your tax return. Unsurprisingly, very few people do, but if you were to get a state audit, badness would ensue.
All states have a use tax. They have varying methods of how they try and collect it. Nothing in the US is ever tax free unless your state has no sales tax, like Delaware, for instance.
For coupon codes, go to retailmenot.com and enter the web url. All current coupon codes will be there. Works for just about any site you could think of.