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I buy nearly every big ticket item either in NJ or online. Keep in ming the tolls though. I am in NJ frequently to visit family and/or hang out at my mother's vacation home with my kids, so the toll is negligible to me, especially after filling up my tank which makes back half of the toll.
As far as purchasing a car, you will pay the taxes when you register in NY, so that's a moot point. Shop around and if the best deal you get is in Jersey, jump on it. Otherwise, purchasing in NY ends up being the same either way.