Well, Montana doesn't have a sales tax. I know lots of Canadians buy RV's and things here and drive them back. Not sure about the import duty issue, but they wouldn't do it if it didn't pay off.
I've done this once before myself. Bought a car in PA 2 weeks before I was moving to NM. PA sales tax is 6%, NM sales tax on autos is 3%. Paid $25 for a 30 day temp permit in PA, and registered the car in NM when I got there, saving about $600 in sales tax.
If you buy a car in a state with no sales tax, I guarantee your own state will collect the tax when you go to register the car. In fact, CA will still collect their sales tax (the difference between their rate and the rate you originally paid) if you bring a new car into the state within 120 days of buying it. So even if you bought it in OR, registered it in OR, and paid no sales tax, if you move to CA within 120 days and register the car, you'll owe CA sales tax on it (I believe they call it an excise tax since it's not being charged at the point of sale, but the rate is the same).
Back on topic, I lived in Abq for several years, and cars there definitely don't rust. I've never seen so many old, classic cars in great condition before. However, our cars got a lot of paint and windshield chips from the blowing dirt and sand, so if you buy something used, check out the condition of the paint. It wouldn't be any good to buy something all chipped up that will start rusting when you get it home.