Each year we usually do a trip or two down to Great Falls or Kalispell (no tax!); this year we combined it with a cheap flight to Phoenix and got the best of both worlds (going somewhere warm and sunny, and being able to load up the car with US purchases).
Last time I went I ordered something from the US and had it shipped here:
http://www.montanashipping.com/
Walmart and JC Penney also have ship to store as well -- order from Canada and pick-up while you're in the US.