If you're talking about online stores, then it depends on the store.
Most sites won't charge tax on an item you buy from them unless they have some type of brick and mortar presence in the state, such as their warehouse, corporate offices or call center. In theory, online stores are supposed to charge sales tax regardless of where you are or where they are, though it gets into a bit of an argument of who's tax it should be.
Circuit City has stores in just about every state, so they charge sales tax on anything they sell online. Best Buy as well, as does Walmart, Target, Toys R Us and the like.
Amazon.com charges tax on purchases for any state they have a presence in, as well as New York. You can find where they charge tax in their Help section. Other online-only sites, depends on the store.