Sales tax in New York City is over 8.5%, which is a lot less than the VAT we pay here. There is no way to avoid paying it at a retail outlet (occasionally there are "tax holidays" to attract shoppers from neighbouring states but generally this is limited to fairly small purchases (e.g. $150 or less).
You could save a few bob if you buy the guitar in New Jersey or Connecticut (sales tax there is 6% I believe).
Either way you are liable for VAT and/or import duties when you import the guitar to the EU, unless you've owned the item for 6 months.