That's because California has tax-hungry laws concerning what defines a "nexus" (a business's presence in the state). It's difficult for many companies to avoid creating a California presence, so they're stuck collecting California sales tax as if they were based there.

Likewise, back when CDNow.com was it's own company it was located right outside of Philadelphia. Living in Pittsburgh, having to pay sales tax when buying from CDNow was always a consideration when deciding to buy music from them or someone else.