Just to flesh out this topic, I've been doing a bit of research on this. According to NYS law Article 265.40, it is OK for a NYS resident to buy a rifle or shotgun in a neighboring state:
265.40 Purchase of rifles and/or shotguns in contiguous states.
Definitions. As used in this act:
1. "Contiguous state" shall mean any state having any portion of its
border in common with a portion of the border of the state of New York;
2. All other terms herein shall be given the meaning prescribed in
Public Law 90-618 known as the "Gun Control Act of l968" (18 U.S.C.
921).
It shall be lawful for a person or persons residing in this state, to
purchase or otherwise obtain a rifle and/or shotgun in a contiguous
state, and to receive or transport such rifle and/or shotgun into this
state; provided, however, such person is otherwise eligible to possess a
rifle and/or shotgun under the laws of this state.
I briefly looked through the PA laws, and couldn't find a similar provision and , looking at the Gun Control Act of 1968, it appears that it is not legal, unless it's from a Will or something:
922. Unlawful acts
(a) It shall be unlawful --
(1) for any person --
...
(5) for any person (other than a licensed importer, licensed manufacturer, licensed dealer, or licensed collector) to transfer, sell, trade, give, transport, or deliver any firearm to any person (other than a licensed importer, licensed manufacturer, licensed dealer, or licensed collector) who the transferor knows or has reasonable cause to believe does not reside in (or if the person is a corporation or other business entity, does not maintain a place of business in) the State in which the transferor resides; except that this paragraph shall not apply to (A) the transfer, transportation, or delivery of a firearm made to carry out a bequest of a firearm to, or an acquisition by intestate succession of a firearm by, a person who is permitted to acquire or possess a firearm under the laws of the State of his residence, and (B) the loan or rental of a firearm to any person for temporary use for lawful sporting purposes;
So, it's possible that it may be legal in some states, but the laws seems to conflict. It does sure look like it puts the seller in a tough position. The GCA seems to be reasonable in that it doesn't make the seller a criminal if the buyer lies about his state of residence or something like that. It's probably safest to go through an FFL in any case, but not necessarily a legal requirement, at least by what I'm seeing.
Of course, IANAL, so if someone wants to point out any errors, please do so. I'd really like to know how all this stuff works.
Mike