Without the EU you wouldn't have a single set of annoying overly-bureaucratic bloc-wide regulation for trade between member states, you'd have a bunch of bilateral agreements between individual countries. You might not be paying a new tax to the EU, but instead you'd pay much more for your postal service to file customs paperwork based on declarations you'd have to write. And I'd guess countries would still want you to have a local representative for a bunch of things, not to mention compliance with tens of slightly-different safety standards (think CE).

Maybe it wouldn't be that much worse, but certainly not better than what we have today.