I've personally developed a great tax-free option - buying cigarettes without tax stamps intended for export to Mexico - could be a life-saver for anyone looking for a life-ending pastime that lives close to an international border!
All I have to do is hop on the trolley, ride it down to Tijuana, and catch a shuttle van to a "duty free" store - they'll let me buy as many cartons as I like, and they have all the best brands like Marlboro and B&H for around $25! After you buy your cigarettes, the same helpful van ferries you to the border, where you walk across and then get in a line to return home. The queue usually moves at a brisk pace and has you back on American soil within 2-3 hours, after which time you re-board the train for the ride home, proudly clutching your cigarette supply for the next couple weeks.
Pro tip: even though you can buy as many cigarettes as you'd like, customs agents will only let you take two cartons across the border. I buy three because they're so cheap and start a chain-smoking party while queued up and waiting to come home!