Most states now charge what's called a "Use Tax". This is a type of sales tax on items bought out of state but which are use or consumed within the state.
This tax is a way to collect sales taxes that were lost because you ordered stuff on the Internet or from a mail order house that didn't charge sales tax.
Note that more and more Internet stores are charging sales tax so you don't have to report those purchases.
Also note that you typically don't have to pay your state's Use Tax on an item for which you were charged the local sales tax of the vendor's state.
Yes, it is important for your return because if you state that you don't owe any Use Tax when you actually do, the state auditor will penalize you. They will ask for receipts and I suspect that with some of the larger Internet sellers, they have agreements to report sales.
For your state's rules, do an Internet Search for "[your state's name] Use Tax".
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