As EOD states the "neighboring state" provision for long guns was stricken from Federal law some time ago. The requirement that the transfer satisfy the laws of both states, however, can be the kicker.
Ohio, for example, modeled it's laws on the original Federal statute and Ohio law provides for transferring a long gun ONLY in Ohio or a neighboring state. I don't know if someone in Wisconsin, for example, will know that Ohio law prohibits me from buying a long gun there. Ohio is, I believe, one of the few states still retaining this provision. It's up to the transferring FFL to know the law and they get a digest of state firearms laws annually from ATF.
No handgun can be transferred other than in your state of residence; has to go thru a local FFL if it's coming from out-of-state.
-- Chuck