I have bought from several US websites in the past, and still do occasionally. As already mentioned, you have to factor in the additional cost of VAT and import duty on the entire order (including the delivery charge) - you might get lucky and not be charged this but you do have to budget for it though.
As mentioned in the thread linked to above, some shipping companies
always apply VAT and import charges (plus their own administration fee), and for me this has included FedEx (who, frustratingly, always bill you later and sometimes months later) and ParcelForce. Others are hit and miss. I have found that value of delivery, size of delivery, number of boxes, etc., don't seem to play a part in determining whether charges are applied - it really is just a lottery (at least here in Ireland anyway).
Also, as you may have already found, the delivery charges from sites can vary considerably. For example, I have found the delivery charges from
Lee Valley and
Rockler to be reasonable but the charges from
Woodcraft can be quite high - I presume the differences arise from different shipping companies used and delivering from different parts of the US and Canada. Incidentally, I always choose Xpress Post when ordering from Lee Valley - they quote a delivery time of a few weeks but my orders always arrive within 3 to 5 working days (may differ to the UK, but not by much I'd imagine).
If you are looking for an EU source of some decent hand tools, then
www.fine-tools.com in Germany are another excellent source. They stock some of the Veritas range available from LeeValley plus others. Their delivery is quick and relatively cheap too.