You get charged state sales tax if the business has a physical presence in that state. For example, if you order from Target.com you get charged WA sales tax because target has stores in WA. The items aren't shipped from WA though.
However, I believe Cabelas is pretty smart and they operate their retail stores under a different business than online/catalog. This way they only have to charge sales tax in states where their catalog/website has a physical presence. If they do operate under the same business, sales tax will be added to their site soon.
I think Lofty has it right. I ordered a couple things since the store has been open and have not paid sales tax. I have been watching to see if they were going to start adding it, so far, no tax. It's also good to note that the prices are not always the same in the store as they are online. If you see an online price that is cheaper than the store price, let them know, they will match it.