The following places do not have VAT (Value Added Tax):
Bahamas, San Marino, Saudi Arabia, Qatar, United Arab Emirates, Kuwait, Bahrain, Oman, Libya, Brunei, Maldives, Hong Kong, Macau, British Virgin Islands, Bermuda, Cayman Islands, Anguilla, Gibraltar, Turks and Caicos Islands and Guernsey.
As you can see from above, most places are in the Gulf area or British Overseas Territory. If you love shopping, those places might be heaven for you.