Many US retailers will ship to Europe via UPS or FEDEX. Some will not due to credit card fraud concerns. With the weak dollar and strong Euro you may be able to save some money. However, you would likely have to pay customs duty when you go to get your package. I would imagine the duty would be at least your VAT %, check with your local toll authorities (the local UPS office should also know since they collect the duty and remit the duty).
Here in Norway I pay 24% VAT on purchases. Fortunately I visit the US often enough to make my PC related purchases while I'm there.