Almost all US states do have sales tax, but they are only collected at the point of sale when the merchant has a relationship with the state. For example FictionWise collects New Jersey taxes (7%) on New Jersey residents, see
Taxes at Fictionwise. In principle individuals are responsible for paying sales taxes if they are not collected by the seller, but except for big purchases such as cars this is unenforceable.
There are often calls for taxes on internet sales, but so far the congress has explicitly banned such taxes.