I don't think you have to pay import tax, but the delivery charges are horrendous. I tried to order half a dozen books and DVDs online from Amazon UK and they wanted to charge me GBP 20.00 for delivery!

Also, I've been told by several people that when their amazon orders arrive, they've often been opened by post office staff looking for contraband.

You can get everything here in the Emirates mall - they have a whole wing of designer shops. Try looking in the Resident's Guide (from Explorer), that gives you a guide of where to buy everything you need.