We live in Illinois, and twice bought out-of-state. In Wisconsin, the dealer had an agreement with the State of Illinois, and was able to do title, registration, taxes, everything. Just like buying in-state. In Indiana, the dealer had no such agreement. We paid the cost of the vehicle with no other fees whatsoever. I had to take the Certificate of Origin to the local Secretary of State (DMV) office and pay the taxes and title/registration fees. A few short forms and an hour of time. Just keep in mind that taxes can easily hit $2000 on expensive vehicles in some states, and if you have to pay yourself you won't have the option of rolling it into your financing if you need to do so.
Basically, contact the out-of-state dealer and they should know all the details. If they can't do everything, then contact your state's DMV and/or Revenue departments.