Sales tax and luxury tax is what you will have to pay tax wise, and they are non-refundable (in most cases but the rules vary area to area).
This really tripped up some friends of mine I had come from England. The rules are complicated and regional.
Sales tax is anywhere from 0% to 10.25% and are not usually applied to raw foods.
Luxury taxes are usually state level and only apply to things most people consider a large purchase. Jewelry, cars, houses, etc. Not things your likely to buy. (Small, "normal" jewelry usually doesn't count. Diamond covered flava-flav clock ... probably has a luxury tax.)
For sales tax, it can change a lot. Don't be afraid to ask. People ask all the time. It's normal. I personally add 10% to what I buy. Sales tax in my city is 7%, county is 6.5%, state is 6%. So you can get different rates depending on what side of the street you shop on some times.
Under normal circumstances you do not get a refund on these taxes. Some states do give refunds. Usually however the trouble of getting that refund isn't worth it unless making a large purchase.
You are not exempt from paying sales tax. (Depending on where you go you may get asked). Business are exempt if they are purchasing things to re-sell. Only the end customer pays sales tax.
Depending on where you go, online purchases may not be subject to sales tax. Though they might. That, again, depends on city, county, and state laws.
Normally, you will have to pay sales tax at the register. It will be calculated into your total, and show as a line item on your receipt.
Also some products have other non-refundable taxes. Rental car taxes, fuel taxes and road taxes are all likely taxes you will have to pay.
Areas that have a lot of tourists, usually (but not always) have more of these kinds of taxes.
Friendly note. DON'T BUY DVDs HERE! They won't work when you get home. I know you didn't ask but this catches a lot of people. Same for electronics (in many cases, specially optical drives and wireless).