I just downloaded my first movie and got the invoice with state and local taxes added. Why? iTunes doesn't have a presence in my state as far as I know.
It may be a local thing in your area. I have purchased A LOT of music and a few books (very few!) from Apple and have never been charged sales tax. But to be honest, I have never purchased or rented a movie through iTunes.
Tried to send them a question but each time I tried their system gave an error and it would delete my info so I'd have to start all over again. How convenient for them.