I just stumbled across this service, www.shopusa.com, it offers a US address to where you can order your goods in the US – from here they will be shipped to you in Europe (or where you live) completely legal with tax, vat and everything.
Sounds interesting, I have for a long time wanted to buy stuff from “Think Geek” however they offer only one shipment method and it is ridiculously expensive for Europe.
Danes, read this; http://pleasure.dk/shopping/artikel/159811/