Must be a NY thing, I've never paid a dime of tax for online ordering that wasn't fulfilled out of my state. (EG target and such send it from a local store, so we pay tax..)
In Ohio, you pay no tax on out of state online purchases... at the time of purchase. But at tax time, you are asked if you made any such purchases. You are expected to add the total up, and pay a tax (Use Tax, maybe?) on the total. The Honor System.
Wonder how that's working out for them?