There are ways to legal get guns mailed to your home. You can get a FFL (01) or a C&R (03) license. A FFL is a license to allow you to order almost any non-silenced or fully automatic pistol, rifle, or shotgun. http://www.nraila.org/Issues/FactSheets/Read.aspx?ID=70
A C&R (Curio and Relic) license is a license to order collectible weapons, specifically ones over 50 years old. This license is darn cheap... like $30 for a 3 year license.
http://www.jgsales.com/getcr.php?SID
The biggest difference is that the FFL allows you to resell weapons that you order, and the C&R doesn't. You cannot run a business with a C&R, although many FFL dealers do run side businesses ordering guns for others ( a background check is still required for the buyer).
Many gun companies, like Midway offer decent discounts for both FFL and C&R holders.
Now, why should you get one of these licenses. Because the store near you sells the guns at retail prices and as a FFL you get those same guns often close to wholesale. The savings can be significant.
