...Is the state tax because the eggs warehouse is located in AZ? I see some online sites are collecting state sales tax and some are not...
It depends on the State whether sales tax is collected for sales made within the State. Technically (and I believe it is Federal law), everyone is required to pay State sales tax on all sales from online companies with a physical presence within the State a sale is made in, whether online or from a local B&M (Brick and Mortar). Since pretty much no one voluntarily pays State sales taxes (or even knows they are supposed to) and not companies collect sales taxes, many States have been suing online companies to force them to collect taxes made in States they have a physical presence in, such as warehouses or headquarters of some kind.
In the case of AZ, Amazon (not the Fresh Hen Fruit company; I threw that in since you got such a chuckle from it) has a huge presence in the Phoenix area in the form of several Fulfillment Centers on the west side of town. Amazon hadn't been collecting sales taxes on sales being shipped to AZ addresses and, of course, no one in AZ had been volunteering to pay those taxes so AZ sued Amazon in Federal court. Amazon quickly settled out of court, presumably to avoid high legal expenses on what has been a lost cause in cases like this and, possibly, to avoid taking a chance that it may have to pay back taxes. If buying from one of Amazon's Marketplace vendors (which I usually avoid), if that vendor doesn't have a presence in AZ, then no sales tax is collected.
Just in case anyone is curious, State sales tax in AZ is roughly 8.3%. Most cities also have a sales tax which will vary from city to city.
...I've received a few drives in those new air pillows, they have so much air pressure in them I'm not sure they provide much shock absorption...
The pillows have been around for a few years. Pillows cushion as well as bubble wrap but, if a pillow should deflate, a much larger volume of protection is gone instead the tiny volume if one cell of bubble wrap should deflate plus the cells surrounding a deflated bubble wrap cell will partially provide protection lost from the deflated cell. Pillows are increasingly being used because they are cheaper than an equivalent volume of bubble wrap.
Pick a HDD of your choice and compare the reviews on that drive on Amazon and the Egg. You will see a much, much higher incidence of DOAs on the drive shipped by NewEgg. Many of those DOA reviews will specifically attribute poor packaging by NewEgg as a probable reason for the DOA, with pillows being cited as the cause of the problem.