When you buy online, if the vendor has a "presence" in your state, i.e. a warehouse, call center, office, then they are REQUIRED to collect sales tax. If you purchase something online, and don't pay the SALES tax, you still have the liability to your state for USE tax, which is complementary to a sales tax, and is a tax on the privilege of USING the goods (versus the privilege of SELLING the goods). You have that liability, however, unless you voluntarily pay it to the state, then the state has to find the transaction, and find you to give you the tax bill.
Unless you live in a state that has no Sales/Use tax, such as NH or OR, and about 3 others, then you actually still have that liability.
When you buy in a store, it doesn't matter where YOU live, just where the sale takes place - Location of the store determines sales tax rate.