I have found cheap(er) cigarettes online (I live in NYC). Is it legal to purchase from these sites? It would let me, but I have been afraid to press "Send" on the order!
It is not illegal to buy cigarettes online from a diffeent state. It IS illegal to fail to pay New York State and City cigarette sales tax on those cigarettes. You should buy the cigarettes online, compute the tax on the cigarettes and mail it to the city and state. Otherwise, you are breaking the law.
But, of course, what you should really do is what New York City wanted you to do when they raised the tax in the first place – quit smoking. One half of all people who smoke will die from it.