Wouldn't they be charged import taxes?
Play.com is^H^Hwas in Jersey, one of the small islands between Great Britain and France. It's a "Crown Dependency" of the UK, roughly comparable to the US Virgin Isles. It's not part of the EU. There was a loophole, where low-value items imported into the UK weren't charged VAT. Jersey is also considered part of the UK for postal prices, so the postage cost was the same for a business there as in, say, Manchester.
That led to Play.com and others selling DVDs and CDs to the UK, until April 2012 when the loophole was closed, and January this year when they shut down the Jersey warehouse.
(Guernsey and the Isle of Man are the other two tax havens in the British Isles, although we have plenty more spread around the world.)
Amazon.co.uk, .de, etc are already based in Luxembourg, to avoid as much tax as possible while remaining within the EU.