We usually try to go in on a group buy so you can split the haz-mat fee. Then it doesn't hurt your pocket so much and you can usually get pretty good deals at online retailers.
There is a hazmat fee for shipping primers but there may also be some sort of licensing requirement. I saw this tossed around on another forum and I recall there was talk that the shipper has to be registered/licensed/ something. There was definitely talk about large fines for violations. Use caution!