Well........That's a big question and if you are willing to gamble, it can definitely pay off.
I actually have not bought a vehicle in my home state in since probably about 2005? I live in ND. and prices on vehicles are stupid high which has led me looking elsewhere. Since going out of state, I've purchased about 6 vehicles, one brand new one and the others were all a couple years old at the time of purchase. In fact I've begun the search for an upgraded Yukon Denali or Escalade for the wife. So the hunt begins again!!
Now I've learned over the years that you have to do your homework and be patient with purchasing vehicles out of state. Do NOT be in a hurry and you have to be willing to let vehicles go, even if there the one!! lol Not only do you need to research the vehicle itself but also research the dealership. Check the dealership out online, read reviews and call them a couple different times and talk to different people. Hell I even ask the receptionist when she answers, "who would you use to buy a vehicle"? LOL
For the vehicle, get a vehicle history report, at least one but more is better. Ask for a ton of pictures and video walk around. If the dealership doesn't want to help and send such pictures or a video then drive on! With my wife's current Escalade that came out of Texas, the dealership sent about 75 pictures, a walk around video and even raised the vehicle up on a hoist and did pictures and a video of the underside. They were great to work with from start to finish.
Before I've closed any deal I ensure that I'm in the position that I know the price is right, even if the vehicle isn't exactly what I expected when it showed up, I can re sell it immediately and not lose. This is key and this is where you "roll the dice". On every vehicle I've been in the position that I know I can just flip it and make some money on it, if it shows up and isn't quite right. Has this happened to me........knock on wood....NOT yet!!!
Other things you want to keep in mind would be getting the vehicle home. Ship it or fly and drive it home ??? On every purchase thus far I have used shipping companies but have been close to having to fly and drive home. Regardless, this is an expense that needs to be added in as part of the vehicle price. Plus, if you have to "fly and drive" you can add in your time.
As far as shipping, I've only done open car haulers as its definitely cheaper then enclosed. I've shipped vehicles up from Texas and it's ranged anywhere from 900.00 to 1200.00 and that was for full size SUVs. Cars are typically cheaper and if you are shipping from a large city area, shipping is usually cheaper as well. Also, if you are not in a hurry and the dealership is willing to work with you and store the vehicle for a week or two, shipping can go down a little as well. Another thing with shipping, is once you enter the "shipping system" you will have tons of calls and emails with quotes, again don't jump as they will typically come down.
On average I would say that I have saved close to 5000.00 per vehicle when comparing to something similar to here locally. That's a total savings with including shipping, so it's definitely worth looking into.
There's a lot of ins and out about buying out of state, sight unseen but if you do it right, take your time, do your homework, it will work out.