Countries in Europe will return the VAT (Sales Tax) for items purchased in that country which you take with you when you leave. There is a minimum purchase amount in order to be eligible. For example in Italy if you purchase more than 154.94 Euro worth of items (including VAT) you can get the 22% VAT refunded to you. You submit the refund request at the airport or by mail. Make sure you ask the stores for the proper receipts and forms.
Here are some links to a site with some great advice on VAT refunds in different European countries: