I don't think they will necessarily lose my business. It all comes to the final price, if they can beat the other stores price after tax and shipping I will get the game from them. I usually only buy the games they have good deals on, but they seem to have good deals online quite often. I have picked up quite a few of their games for 9.99 and would still pick up more eventually (Rygar) even with the tax.
It isn't like they are making money off this, the money is going to the state. I am surprised they got away with not charging sales tax for so long. Most companies charge sales tax if they have a B&M store in the state.
In conclusion, it sucks, but you can't hold it against them.